solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看1161次
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>>