Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
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Publication:5938024
DOI10.1016/S0167-6687(00)00062-7zbMath0981.60041MaRDI QIDQ5938024
Publication date: 3 March 2002
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35)
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Ruin probabilities and decompositions for general perturbed risk processes. ⋮ On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ On the Gerber-Shiu function and change of measure ⋮ Applications of factorization embeddings for Lévy processes ⋮ A wide class of heavy-tailed distributions and its applications ⋮ Distribution of suprema for generalized risk processes ⋮ Ruin probabilities for competing claim processes ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Reduced-load equivalence for queues with Gaussian input
Cites Work
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- Palm probabilities and stationary queues
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- Ladder height distributions with marks
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Ruin probabilities expressed in terms of storage processes
- Risk processes perturbed by α-stable Lévy motion
- Risk theory in a Markovian environment
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