Convolution equivalent Lévy processes and first passage times (Q363857): Difference between revisions

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.