Cramér–Lundberg asymptotics for spectrally positive Markov additive processes

Lucas van Kreveld, Michel Mandjes and Jan-Pieter Dorsman

Scandinavian Actuarial Journal, 2024, vol. 2024, issue 6, 561-582

Abstract: This paper studies the Cramér–Lundberg asymptotics of the ruin probability for a model in which the reserve level process is described by a spectrally-positive light-tailed Markov additive process. By applying a change-of-measure technique in combination with elements from Wiener-Hopf theory, the exact asymptotics of the ruin probability are expressed in terms of the model primitives. In addition a simulation algorithm of generalized Siegmund type is presented, under which the returned estimate of the ruin probability has bounded relative error. Numerical experiments show that, compared to direct estimation, this algorithm greatly reduces the number of runs required to achieve an estimate with a given accuracy. The experiments also reveal that our asymptotic results provide a good approximation of the ruin probability even for relatively small initial surplus levels.

Date: 2024
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DOI: 10.1080/03461238.2023.2280287

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