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Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes

Published online by Cambridge University Press:  11 December 2019

Pierre-Olivier Goffard
Affiliation:
Université Lyon 1
Andrey Sarantsev
Affiliation:
University of Nevada, Reno
Corresponding

Abstract

We find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.

Type
Research Papers
Copyright
© Applied Probability Trust 2019 

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