Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

DOI10.1214/14-AAP1094zbMath1334.60076arXiv1309.6973MaRDI QIDQ259583

Philip S. Griffin

Publication date: 11 March 2016

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

Full work available at URL: https://arxiv.org/abs/1309.6973

zbMATH Keywords

sample pathsovershootconvolution equivalenceCramér-Lundberg conditionLévy insurance risk processruin time

Mathematics Subject Classification ID

Related Items (5)

Cramér's estimate for the reflected process revisited ⋮ Stability of overshoots of Markov additive processes ⋮ General tax structures for a Lévy insurance risk process under the Cramér condition ⋮ Path decomposition of a reflected Lévy process on first passage over high levels ⋮ An uncertain alternating renewal insurance risk model

Cites Work

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