Conditional law of risk processes given that ruin occurs

Hanspeter Schmidli

Insurance: Mathematics and Economics, 2010, vol. 46, issue 2, 281-289

Abstract: A risk process that can be Markovised is conditioned on ruin. We prove that the process remains a Markov process. If the risk process is a PDMP, it is shown that the conditioned process remains a PDMP. For many examples the asymptotics of the parameters in both the light-tailed case and the heavy-tailed case are discussed.

Keywords: Markov; process; Generator; Absorbing; state; Ruin; Diffusion; process; Jump; process; Weak; convergence; Piecewise; deterministic; Markov; process; (PDMP); Change; of; measure; Cramer; condition; Subexponential; distribution (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00138-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:46:y:2010:i:2:p:281-289

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().