Convolution equivalent Lévy processes and first passage times (Q363857): Difference between revisions
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This paper considers Lévy processes with convolution equivalent Lévy measures, in the sense that the right tail of the Lévy measure belongs to the class of convolution equivalent distributions with index \(\alpha>0\), and is interested in the behavior of the Lévy process with respect to first passage above a level \(u\). The first main result of the paper provides a sharp asymptotic estimate for the probability of ruin in finite time, while the second one provides a functional limit theorem that describes the process conditioned on first passage in finite time as the level \(u\) goes to infinity. Applications of these results for insurance risk models are also discussed in the paper. | |||
Property / review text: This paper considers Lévy processes with convolution equivalent Lévy measures, in the sense that the right tail of the Lévy measure belongs to the class of convolution equivalent distributions with index \(\alpha>0\), and is interested in the behavior of the Lévy process with respect to first passage above a level \(u\). The first main result of the paper provides a sharp asymptotic estimate for the probability of ruin in finite time, while the second one provides a functional limit theorem that describes the process conditioned on first passage in finite time as the level \(u\) goes to infinity. Applications of these results for insurance risk models are also discussed in the paper. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Antonis Papapantoleon / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F17 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6205801 / rank | |||
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Property / zbMATH Keywords | |||
Lévy process | |||
Property / zbMATH Keywords: Lévy process / rank | |||
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Property / zbMATH Keywords | |||
convolution equivalence | |||
Property / zbMATH Keywords: convolution equivalence / rank | |||
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first passage time | |||
Property / zbMATH Keywords: first passage time / rank | |||
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functional limit theorem | |||
Property / zbMATH Keywords: functional limit theorem / rank | |||
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ruin probability | |||
Property / zbMATH Keywords: ruin probability / rank | |||
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insurance risk | |||
Property / zbMATH Keywords: insurance risk / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1205.5054 / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 20:58, 6 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Convolution equivalent Lévy processes and first passage times |
scientific article |
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Convolution equivalent Lévy processes and first passage times (English)
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5 September 2013
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This paper considers Lévy processes with convolution equivalent Lévy measures, in the sense that the right tail of the Lévy measure belongs to the class of convolution equivalent distributions with index \(\alpha>0\), and is interested in the behavior of the Lévy process with respect to first passage above a level \(u\). The first main result of the paper provides a sharp asymptotic estimate for the probability of ruin in finite time, while the second one provides a functional limit theorem that describes the process conditioned on first passage in finite time as the level \(u\) goes to infinity. Applications of these results for insurance risk models are also discussed in the paper.
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Lévy process
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convolution equivalence
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first passage time
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functional limit theorem
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ruin probability
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insurance risk
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