Convolution equivalent Lévy processes and first passage times

DOI10.1214/12-AAP879zbMath1347.60054arXiv1205.5054MaRDI QIDQ363857

Philip S. Griffin

Publication date: 5 September 2013

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

Full work available at URL: https://arxiv.org/abs/1205.5054

zbMATH Keywords

functional limit theoremruin probabilityfirst passage timeLévy processconvolution equivalenceinsurance risk

Mathematics Subject Classification ID

Related Items (11)

Sample paths of a Lévy process leading to first passage over high levels in finite time ⋮ Parisian ruin of self-similar Gaussian risk processes ⋮ Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Gaussian risk models with financial constraints ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ 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 ⋮ On the \(\gamma\)-reflected processes with fBm input ⋮ General tax structures for a Lévy insurance risk process under the Cramér condition ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The time at which a Lévy process creeps
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Convolution tails, product tails and domains of attraction
• The supremum of a process with stationary independent and symmetric increments
• On convolution tails
• Degeneracy properties of subcritical branching processes
• Subexponential distributions and characterizations of related classes
• Suprema and sojourn times of Lévy processes with exponential tails
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Functionals of infinitely divisible stochastic processes with exponential tails
• Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
• Overshoots and undershoots of Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• VOTRE LÉVY RAMPE-T-IL?
• Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
• 𝜉-radial processes and random Fourier series
• ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
• Convolution equivalence and infinite divisibility
• Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
• Probability

This page was built for publication: Convolution equivalent Lévy processes and first passage times