Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes

Ehyter M. Martín-González and Ekaterina T. Kolkovska

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 23, 8566-8583

Abstract: We study a generalization of the Expected Discounted Penalty Function (EDPF) for a class of two-sided jump Lévy processes R having positive jumps with a rational Laplace transform. Our first result provides an explicit expression for the generalized EDPF in terms of functions depending only on the parameters of the Lévy process R. Later on, we apply our results to study a measure of asymptotic dependence for the severity of ruin on the surplus prior to ruin, for the class of Lévy risk processes considered in this work.

Date: 2023
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DOI: 10.1080/03610926.2022.2065302

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