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Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes. (arXiv:1710.01845v1 [math.PR])

来源于:arXiv
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions. 查看全文>>