Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Claude Lefèvre () and
Philippe Picard ()
Additional contact information
Claude Lefèvre: Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, Bruxelles B-1050, Belgium
Philippe Picard: Institut de Science Financière et d'Assurances, Université de Lyon, 50 Avenue Tony Garnier, Lyon F-69007, France
Risks, 2013, vol. 1, issue 3, 1-21
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit condition will be essentially relaxed. Most results generalize those known for the compound Poisson claim process.
Keywords: Lévy subordinator; time reversal; ruin probability; (in)finite time horizon; ruin severity; reserves prior to ruin; ruin time (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:1:y:2013:i:3:p:192-212:d:31342
Access Statistics for this article
Risks is currently edited by Prof. Dr. J. David Cummins
More articles in Risks from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().