Ruin probabilities in models of resource management and insurance: A synthesis

Rabi Bhattacharya, Mukul Majumdar

Research output: Contribution to journalArticlepeer-review


This paper synthesizes and contributes to the literature on ruin probabilities in two different contexts. First it explores a Markov (Lindley-Spitzer) process arising in a model of sustainable consumption of a renewable resource under uncertainty. The focus is on the rate of convergence of the stock process, particularly in the heavy-tailed case. Next, it turns to the characterization of the ruin probability in the Sparre Andersen model of insurance. Both the heavy- and light-tailed cases are investigated. Finally, some remarks on the mathematical connections between the two models are made.

Original languageEnglish (US)
Pages (from-to)59-74
Number of pages16
JournalInternational Journal of Economic Theory
Issue number1
StatePublished - Mar 1 2015


  • Convergence rates
  • Heavy tails
  • Insurance
  • Invariant distributions
  • Light tails
  • Lindley-Spitzer process
  • Lundberg bound
  • Renewable resource
  • Ruin probabilities
  • Sparre Andersen model
  • Sustainable consumption

ASJC Scopus subject areas

  • Economics and Econometrics


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