Uniform Asymptotics of Ruin Probabilities for Levy Processes
F. Avram, M. Kelbert, I. Sazonov
2012, v.18, Issue 4, 681-692
ABSTRACT
In this paper we obtain, for spectrally negative Levy processes $X$, uniform approximations for the finite time ruin probability \[ \Psi(t,u) = {\mathbb P}_u[T\leq t],\quad T=\inf\{t\geq 0: X(t) < 0\}, \] when $u=X(0)$ and $t$ tend to infinity such that $v=u/t$ is constant, and the so-called Cramer light-tail condition is satisfied.
Keywords: ruin probability,Cramer - Lundberg model,Levy process,Cremona equation,Saddle-point approximation,Fresnel integral
COMMENTS
Please log in or register to leave a comment
There are no comments yet