A link between wave governed random motions and ruin processes - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Insurance: Mathematics and Economics Année : 2004

A link between wave governed random motions and ruin processes

Résumé

This article establishes a link between hitting times associated with the risk process (time of ruin) and wave governed random motions, which are widely used in physics. Concerning risk theory, another link holds between processes corresponding to models called positive and negative risk sums. Some classical results appear to be strongly interconnected. An original algorithm is proposed for computing finite-time ruin probabilities in renewal non-Poissonian risk model with exponential claims. Concerning wave-governed random motions, we analyze the distribution of the maxima of the processes. New bounds are directly derived from risk theory and appear to be more accurate than the ones proposed recently in the probabilistic literature. Finally, we propose applications of these notions in finance.

Dates et versions

hal-00412977 , version 1 (02-09-2009)

Identifiants

Citer

Christian Mazza, Didier Rullière. A link between wave governed random motions and ruin processes. Insurance: Mathematics and Economics, 2004, 35 (2), pp.205-222. ⟨10.1016/j.insmatheco.2004.07.014⟩. ⟨hal-00412977⟩
123 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More