Ruin probability with claims modeled by a stationary ergodic stable process

T. Mikosch, G. Samorodnitsky

Research output: Contribution to journalArticleAcademicpeer-review

34 Citations (Scopus)
66 Downloads (Pure)

Abstract

For a random walk with negative drift we study the exceedance probability (ruin probability) of a high threshold. The steps of this walk (claim sizes) constitute a stationary ergodic stable process. We study how ruin occurs in this situation and evaluate the asymptotic behavior of the ruin probability for a large variety of stationary ergodic stable processes. Our findings show that the order of magnitude of the ruin probability varies significantly from one model to another. In particular, ruin becomes much more likely when the claim sizes exhibit long-range dependence. The proofs exploit large deviation techniques for sums of dependent stable random variables and the series representation of a stable process as a function of a Poisson process.
Original languageEnglish
Pages (from-to)1814-1851
JournalThe Annals of Probability
Volume28
Issue number4
DOIs
Publication statusPublished - 2000

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