EXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES
Résumé
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
Domaines
Probabilités [math.PR]
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GoffardSarantsevExponentialRateRuinProbabilities.pdf (503.76 Ko)
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