Author:
Goffard Pierre-Olivier,Sarantsev Andrey
Abstract
AbstractWe find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
3 articles.
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