Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

DOI10.1016/j.insmatheco.2012.06.005zbMath1284.62119arXiv1106.3292OpenAlexW2107311502MaRDI QIDQ2445350

Philip S. Griffin, Kees van Schaik, Ross A. Maller

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.3292

zbMATH Keywords

Lévy processovershootruin timeundershootCramér conditionconvolution equivalent distributionsinsurance risk process

Mathematics Subject Classification ID

Related Items (7)

Convolution equivalent Lévy processes and first passage times ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

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