Loss Rates for Lévy Processes with Two Reflecting Barriers (Q5388032)
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scientific article; zbMATH DE number 5279725
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| English | Loss Rates for Lévy Processes with Two Reflecting Barriers |
scientific article; zbMATH DE number 5279725 |
Statements
Loss Rates for Lévy Processes with Two Reflecting Barriers (English)
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27 May 2008
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Lévy process
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reflection
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Skorokhod problem
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local time
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loss rate
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light tail
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martingale
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Lundberg equation
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Markov-modulated Lévy process
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Cramér-Lundberg approximation
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asymptotics
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0.8915208578109741
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0.882244348526001
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0.8792837262153625
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0.8697571754455566
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0.7840536832809448
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