Notes on risk theory
Anders Martin-L\"of, Anders Sk\"ollermo
TL;DR
This paper provides a clear introduction to classical Risk Theory for compound Poisson processes, utilizing probabilistic proofs and large deviation methods to analyze the time to ruin.
Contribution
It offers elegant probabilistic proofs using the Ballot Theorem and applies large deviation techniques to study ruin time distribution.
Findings
Probabilistic proofs of risk theory results
Application of the Ballot Theorem in risk analysis
Large deviation methods for ruin time distribution
Abstract
The paper contains a basic course on classical Risk Theory for a compound Poisson process. It is based on probabilistic proofs using the method of the "Ballot Theorem" introduced by Tackas. This provides elegant and direct proofs. Also large deviation methods are used to study the distribution of the time to ruin.
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Taxonomy
TopicsProbability and Risk Models