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Path decomposition of ruinous behavior for a general Lévy insurance risk process

Griffin, Philip S.; Maller, Ross A.

Description

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]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/100160
Source: The Annals of Applied Probability
DOI: 10.1214/11-AAP797

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