EXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

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.
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Dates et versions

hal-01612933 , version 1 (09-10-2017)
hal-01612933 , version 2 (16-01-2019)
hal-01612933 , version 3 (21-09-2019)

Identifiants

  • HAL Id : hal-01612933 , version 2

Citer

Pierre-Olivier Goffard, Andrey Sarantsev. EXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES. 2019. ⟨hal-01612933v2⟩
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