The first passage event for sums of dependent Lévy processes with applications to insurance risk

DOI10.1214/09-AAP601zbMath1209.60029arXiv0912.1925OpenAlexW2049408306MaRDI QIDQ1049556

Claudia Klüppelberg, Irmingard Eder

Publication date: 13 January 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1925

zbMATH Keywords

ruin theoryfluctuation theoryfirst passage eventdependence modelingLévy copulamultivariate Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

Related Items

Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Lévy Copulas: Review of Recent Results ⋮ Parameter estimation of a bivariate compound Poisson process ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions ⋮ Pareto Lévy Measures and Multivariate Regular Variation

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