Computing the Ruin Probability of Lévy Insurance Risk Processes in non-Cramér Models

Title & Authors
Computing the Ruin Probability of Lévy Insurance Risk Processes in non-Cramér Models
Park, Hyun-Suk;

Abstract
This study provides the explicit computation of the ruin probability of a Le￠vy process on finite time horizon in Theorem 1 with the help of a fluctuation identity. This paper also gives the numerical results of the ruin probability in Variance Gamma(VG) and Normal Inverse Gaussian(NIG) models as illustrations. Besides, the paths of VG and NIG processes are simulated using the same parameter values as in Madan et al. (1998).
Keywords
L$\small{\acute{e}}$evy processes;failure time;Ruin probability;Variance Gamma;Normal Inverse Gaussian;Wiener-Hopf factorization;
Language
English
Cited by
1.
보험위험 확률모형에서의 파산확률,박현숙;최정규;

응용통계연구, 2011. vol.24. 4, pp.575-586
2.
이단계 보험요율의 복합 포아송 위험 모형의 파산 확률,송미정;이지연;

Communications for Statistical Applications and Methods, 2011. vol.18. 4, pp.433-443
1.
Ruin Probability on Insurance Risk Models, Korean Journal of Applied Statistics, 2011, 24, 4, 575
2.
Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule, Communications for Statistical Applications and Methods, 2011, 18, 4, 433
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