Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics

Yasutaka Shimizu

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 7, 620-648

Abstract: This paper presents an asymptotic expansion of the ultimate ruin probability under Lévy insurance risks as the loading factor tends to zero. The expansion formula is obtained via the Edgeworth type expansion for compound geometric distributions. We give higher-order expansion of the ruin probability, any order of which is available in explicit form, and discuss a certain type of validity of the expansion. We shall also give applications to evaluation of the VaR-type risk measure due to ruin, and the scale function of spectrally negative Lévy processes.

Date: 2014
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DOI: 10.1080/03461238.2012.755937

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