Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process

Damien Bankovsky and Allan Sly

Stochastic Processes and their Applications, 2009, vol. 119, issue 8, 2544-2562

Abstract: For a bivariate Lévy process ([xi]t,[eta]t)t>=0 the generalised Ornstein-Uhlenbeck (GOU) process is defined as where . We define necessary and sufficient conditions under which the infinite horizon ruin probability for the process is zero. These conditions are stated in terms of the canonical characteristics of the Lévy process and reveal the effect of the dependence relationship between [xi] and [eta]. We also present technical results which explain the structure of the lower bound of the GOU.

Keywords: Lévy; processes; Generalised; Ornstein-Uhlenbeck; process; Exponential; functionals; of; Lévy; processes; Ruin; probability (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(09)00005-2
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:spapps:v:119:y:2009:i:8:p:2544-2562

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().