scholarly journals Parisian Excursion Below a Fixed Level from the Last Record Maximum of Lévy Insurance Risk Process

2019 ◽  
pp. 311-326 ◽  
Author(s):  
Budhi A. Surya
Keyword(s):  
Risk Process ◽  
Insurance Risk ◽  
Fixed Level

scholarly journals Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

2016 ◽  
Vol 53 (2) ◽  
pp. 572-584 ◽  
Author(s):  
Erik J. Baurdoux ◽  
Juan Carlos Pardo ◽  
José Luis Pérez ◽  
Jean-François Renaud
Keyword(s):  
Risk Process ◽  
Levy Processes ◽  
Insurance Company ◽  
Excursion Theory ◽  
Insurance Risk ◽  
Scale Functions ◽  
Surplus Process ◽  
Parisian Ruin ◽  
Risk Processes ◽  
Spectrally Negative Lévy Processes

Abstract Inspired by the works of Landriault et al. (2011), (2014), we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock rings before the surplus becomes positive again then the insurance company is ruined. Our methodology uses excursion theory for spectrally negative Lévy processes and relies on the theory of so-called scale functions. In particular, we extend the recent results of Landriault et al. (2011), (2014).

scholarly journals A Lévy Insurance Risk Process with Tax

2008 ◽  
Vol 45 (02) ◽  
pp. 363-375 ◽  
Author(s):  
Hansjörg Albrecher ◽  
Jean-François Renaud ◽  
Xiaowen Zhou
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Risk Process ◽  
Fluctuation Theory ◽  
Insurance Risk ◽  
Exit Problem ◽  
Tax Payments ◽  
Aggregate Income

Using fluctuation theory, we solve the two-sided exit problem and identify the ruin probability for a general spectrally negative Lévy risk process with tax payments of a loss-carry-forward type. We study arbitrary moments of the discounted total amount of tax payments and determine the surplus level to start taxation which maximises the expected discounted aggregate income for the tax authority in this model. The results considerably generalise those for the Cramér-Lundberg risk model with tax.

Uncertain insurance risk process with multiple classes of claims

2020 ◽  
Vol 83 ◽  
pp. 660-673 ◽  
Author(s):  
Zhe Liu ◽  
Ying Yang
Keyword(s):  
Risk Process ◽  
Insurance Risk

A modified insurance risk process with uncertainty

2015 ◽  
Vol 62 ◽  
pp. 227-233 ◽  
Author(s):  
Kai Yao ◽  
Zhongfeng Qin
Keyword(s):  
Risk Process ◽  
Insurance Risk

scholarly journals Stability of the exit time for Lévy processes

2011 ◽  
Vol 43 (03) ◽  
pp. 712-734
Author(s):  
Philip S. Griffin ◽  
Ross A. Maller
Keyword(s):  
Lévy Process ◽  
Exit Time ◽  
Passage Time ◽  
Risk Process ◽  
Levy Processes ◽  
Levy Process ◽  
Conditional Stability ◽  
Insurance Risk ◽  
Cramer Condition ◽  
Cramér Condition

This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, u, starting from 0, both as u becomes large and as u becomes small. Our main focus is on the time, τ u , it takes the process to transit above the level, and in particular, on the stability of this passage time; thus, essentially, whether or not τ u behaves linearly as u ↓ 0 or u → ∞. We also consider the conditional stability of τ u when the process drifts to -∞ almost surely. This provides information relevant to quantities associated with the ruin of an insurance risk process, which we analyse under a Cramér condition.

scholarly journals Stability of the exit time for Lévy processes

2011 ◽  
Vol 43 (3) ◽  
pp. 712-734 ◽  
Author(s):  
Philip S. Griffin ◽  
Ross A. Maller
Keyword(s):  
Lévy Process ◽  
Exit Time ◽  
Passage Time ◽  
Risk Process ◽  
Levy Processes ◽  
Levy Process ◽  
Conditional Stability ◽  
Insurance Risk ◽  
Cramer Condition ◽  
Cramér Condition

This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, u, starting from 0, both as u becomes large and as u becomes small. Our main focus is on the time, τu, it takes the process to transit above the level, and in particular, on the stability of this passage time; thus, essentially, whether or not τu behaves linearly as u ↓ 0 or u → ∞. We also consider the conditional stability of τu when the process drifts to -∞ almost surely. This provides information relevant to quantities associated with the ruin of an insurance risk process, which we analyse under a Cramér condition.

Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

2007 ◽  
Vol 44 (02) ◽  
pp. 428-443 ◽  
Author(s):  
A. E. Kyprianou ◽  
Z. Palmowski
Keyword(s):  
Net Present Value ◽  
Risk Process ◽  
Excursion Theory ◽  
Insurance Risk ◽  
Present Value ◽  
Deficit At Ruin ◽  
Spectrally Negative Lévy Process ◽  
The Deficit At Ruin ◽  
The Laplace Transform ◽  
Classical Control

We provide a distributional study of the solution to the classical control problem due to De Finetti (1957), Gerber (1969), Azcue and Muler (2005), and Avram et al. (2007), which concerns the optimal payment of dividends from an insurance risk process prior to ruin. Specifically, we build on recent work in the actuarial literature concerning calculations of the nth moment of the net present value of dividends paid out in the optimal strategy as well as the moments of the deficit at ruin and the Laplace transform of the red period. The calculations we present go much further than the existing literature, in that our calculations are valid for a general spectrally negative Lévy process as opposed to the classical Cramér–Lundberg process with exponentially distributed jumps. Moreover, the technique we use appeals principally to excursion theory rather than integro-differential equations and, for the case of the nth moment of the net present value of dividends, makes a new link with the distribution of integrated exponential subordinators.

scholarly journals A reinsurance risk model with a threshold coverage policy: the Gerber–Shiu penalty function

2017 ◽  
Vol 54 (1) ◽  
pp. 267-285 ◽  
Author(s):  
Onno J. Boxma ◽  
Esther Frostig ◽  
David Perry
Keyword(s):  
Risk Model ◽  
Risk Process ◽  
Insurance Risk ◽  
Deficit At Ruin ◽  
Scale Functions ◽  
The Deficit At Ruin ◽  
The Laplace Transform ◽  
Surplus Before Ruin ◽  
Set Up ◽  
Spectrally Negative Lévy Processes

AbstractWe consider a Cramér–Lundberg insurance risk process with the added feature of reinsurance. If an arriving claim finds the reserve below a certain threshold γ, or if it would bring the reserve below that level, then a reinsurer pays part of the claim. Using fluctuation theory and the theory of scale functions of spectrally negative Lévy processes, we derive expressions for the Laplace transform of the time to ruin and of the joint distribution of the deficit at ruin and the surplus before ruin. We specify these results in much more detail for the threshold set-up in the case of proportional reinsurance.

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