Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes

DOI10.1239/aap/1222868183zbMath1149.60027OpenAlexW1989345726MaRDI QIDQ3535650

Hyun Suk Park, Ross A. Maller

Publication date: 13 November 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1222868183

zbMATH Keywords

Lévy processladder height processovershootundershootinsurance risk processsubexponential and convolution equivalent distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Renewal theory (60K05)

Related Items

Stability of the exit time for Lévy processes, Asymptotics for the moments of the overshoot and undershoot of a random walk, Stability of overshoots of Markov additive processes, Path decomposition of ruinous behavior for a general Lévy insurance risk process, Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases, The uniform local asymptotics for a Lévy process and its overshoot and undershoot, A note on limiting distribution for jumps of Lévy insurance risk model, Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

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