Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/103602 
Year of Publication: 
2013
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 1 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2013 [Pages:] 192-212
Publisher: 
MDPI, Basel
Abstract: 
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit condition will be essentially relaxed. Most results generalize those known for the compound Poisson claim process.
Subjects: 
Lévy subordinator
time reversal
ruin probability
(in)finite time horizon
ruin severity
reserves prior to ruin
ruin time
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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