Risks 2013, 1(3), 192-212; doi:10.3390/risks1030192
Article

Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach

1 Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, Bruxelles B-1050, Belgium 2 Institut de Science Financière et d'Assurances, Université de Lyon, 50 Avenue Tony Garnier, Lyon F-69007, France
* Author to whom correspondence should be addressed.
Received: 6 November 2013; in revised form: 2 December 2013 / Accepted: 5 December 2013 / Published: 13 December 2013
(This article belongs to the Special Issue Application of Stochastic Processes in Insurance)
PDF Full-text Download PDF Full-Text [340 KB, uploaded 13 December 2013 17:29 CET]
Abstract: This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit condition will be essentially relaxed. Most results generalize those known for the compound Poisson claim process.
Keywords: Lévy subordinator; time reversal; ruin probability; (in)finite time horizon; ruin severity; reserves prior to ruin; ruin time

Article Statistics

Load and display the download statistics.

Citations to this Article

Cite This Article

MDPI and ACS Style

Lefèvre, C.; Picard, P. Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach. Risks 2013, 1, 192-212.

AMA Style

Lefèvre C, Picard P. Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach. Risks. 2013; 1(3):192-212.

Chicago/Turabian Style

Lefèvre, Claude; Picard, Philippe. 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach." Risks 1, no. 3: 192-212.

Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert