On the time spent in the red by a refracted Lévy risk process

Renaud, Jean-François (2014). « On the time spent in the red by a refracted Lévy risk process ». Journal of Applied Probability, 51(4), pp. 1171-1188.

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In this paper we introduce an insurance ruin model with an adaptive premium rate, henceforth referred to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model the premium rate is increased as soon as the wealth process falls into the red zone and is brought back to its regular level when the wealth process recovers. The analysis is focused mainly on the time a refracted Lévy risk process spends in the red zone (analogous to the duration of the negative surplus). Building on results from [11] and [16], we identify the distribution of various functionals related to occupation times of refracted spectrally negative Lévy processes. For example, these results are used to compute both the probability of bankruptcy and the probability of Parisian ruin in this model with restructuring.

Type: Article de revue scientifique
Mots-clés ou Sujets: Spectrally negative Lévy processes, refraction, occupation times, bankruptcy, Parisian ruin.
Unité d'appartenance: Faculté des sciences > Département de mathématiques
Déposé par: Jean-François Renaud
Date de dépôt: 22 avr. 2016 14:51
Dernière modification: 27 avr. 2016 19:28
Adresse URL : http://archipel.uqam.ca/id/eprint/8260


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