Conditional law of risk processes given that ruin occurs
A risk process that can be Markovised is conditioned on ruin. We prove that the process remains a Markov process. If the risk process is a PDMP, it is shown that the conditioned process remains a PDMP. For many examples the asymptotics of the parameters in both the light-tailed case and the heavy-tailed case are discussed.
Year of publication: |
2010
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Authors: | Schmidli, Hanspeter |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 46.2010, 2, p. 281-289
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Publisher: |
Elsevier |
Keywords: | Markov process Generator Absorbing state Ruin Diffusion process Jump process Weak convergence Piecewise deterministic Markov process (PDMP) Change of measure Cramer condition Subexponential distribution |
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