| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076977 | Insurance: Mathematics and Economics | 2010 | 9 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hanspeter Schmidli,