Path decomposition of ruinous behavior for a general Lévy insurance risk process
We analyze the general Lévy insurance risk process for Lévy measures in the convolution equivalence class S(α), α > 0, via a new kind of path decomposition. This yields a very general functional limit theorem as the initial reserve level u → ∞, and a host of new results for functionals of interest in insurance risk. Particular emphasis is placed on the time to ruin, which is shown to have a proper limiting distribution, as u → ∞, conditional on ruin occurring under our assumptions....[Show more]
|Collections||ANU Research Publications|
|Source:||The Annals of Applied Probability|
|01_Griffin_Path_decomposition_of_ruinous_2012.pdf||Published Version||344.32 kB||Adobe PDF|
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