Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes

Pierre-Olivier Goffard; Andrey Sarantsev

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arXiv · 1710.01845

Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes

Pierre-Olivier Goffard·Andrey Sarantsev

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Abstract

We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.

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BibTeX RIS

Pierre-Olivier Goffard, Andrey Sarantsev. 2017-10-05. Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes. https://arxiv.org/abs/1710.01845

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