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Conditional law of risk processes given that ruin occurs

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  • Schmidli, Hanspeter

Abstract

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.

Suggested Citation

  • Schmidli, Hanspeter, 2010. "Conditional law of risk processes given that ruin occurs," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 281-289, April.
    • Handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:281-289
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    References listed on IDEAS

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