Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Abstract
:1. Introduction
2. Non-Ruin Probabilities
2.1. Results
2.1.1. Special Cases
2.2. Proofs
2.2.1. Step 1: First-Meeting in a Lower Boundary.
2.2.2. Step 2: Back to the Ruin Problem
3. Reserves at and Prior to Ruin
3.1. Results
3.2. Proofs
4. Ruin Time
4.1. Results
4.2. Proofs
Acknowledgments
Conflicts of Interest
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Appendix
A. Special Cases
A.1. Compound Poisson Process
A.2. Gamma Process
A.3. α-Stable Subordinator
A.4. Inverse Gaussian Process
B. Useful Properties
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Lefèvre, C.; Picard, P. Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach. Risks 2013, 1, 192-212. https://doi.org/10.3390/risks1030192
Lefèvre C, Picard P. Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach. Risks. 2013; 1(3):192-212. https://doi.org/10.3390/risks1030192
Chicago/Turabian StyleLefèvre, Claude, and Philippe Picard. 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach" Risks 1, no. 3: 192-212. https://doi.org/10.3390/risks1030192