Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Computing the Ruin Probability of Lévy Insurance Risk Processes in non-Cramér Models

  • Park, Hyun-Suk (Department of Finance and Information Statistics, Hallym University)
  • Received : 20100100
  • Accepted : 20100300
  • Published : 2010.07.31
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Abstract

This study provides the explicit computation of the ruin probability of a Le￠vy process on finite time horizon in Theorem 1 with the help of a fluctuation identity. This paper also gives the numerical results of the ruin probability in Variance Gamma(VG) and Normal Inverse Gaussian(NIG) models as illustrations. Besides, the paths of VG and NIG processes are simulated using the same parameter values as in Madan et al. (1998).

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References

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  1. Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule vol.18, pp.4, 2011, https://doi.org/10.5351/CKSS.2011.18.4.433
  2. Ruin Probability on Insurance Risk Models vol.24, pp.4, 2011, https://doi.org/10.5351/KJAS.2011.24.4.575