Classification of the Bounds on the Probability of Ruin for Lévy Processes with Light-tailed Jumps - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2018

Classification of the Bounds on the Probability of Ruin for Lévy Processes with Light-tailed Jumps

Abstract

In this note, we study the ultimate ruin probabilities of a real-valued Lévy process X with light-tailed negative jumps. It is well-known that, for such Lévy processes, the probability of ruin decreases as an exponential function with a rate given by the root of the Laplace exponent, when the initial value goes to infinity. Under the additional assumption that X has integrable positive jumps, we show how a finer analysis of the Laplace exponent gives in fact a complete description of the bounds on the probability of ruin for this class of Lévy processes. This leads to the identification of a case that is not considered in the literature and for which we give an example. We then apply the result to various risk models and in particular the Cramér-Lundberg model perturbed by Brownian motion.
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Dates and versions

hal-01597828 , version 1 (28-09-2017)
hal-01597828 , version 2 (22-02-2018)

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Jérôme Spielmann. Classification of the Bounds on the Probability of Ruin for Lévy Processes with Light-tailed Jumps. 2018. ⟨hal-01597828v2⟩
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