Overshoots and undershoots of Lévy processes

DOI10.1214/105051605000000647zbMATH Open1101.60029arXivmath/0603210OpenAlexW3102711102MaRDI QIDQ2494574FDOQ2494574

Authors: A. E. Kyprianou, Ronald A. Doney 

Publication date: 29 June 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We obtain a new fluctuation identity for a general L'{e}vy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the overshoot, the undershoot and the undershoot of the last maximum. With the help of this identity, we revisit the results of Kl"{u}ppelberg, Kyprianou and Maller [Ann. Appl. Probab. 14 (2004) 1766--1801] concerning asymptotic overshoot distribution of a particular class of L'{e}vy processes with semi-heavy tails and refine some of their main conclusions. In particular, we explain how different types of first passage contribute to the form of the asymptotic overshoot distribution established in the aforementioned paper. Applications in insurance mathematics are noted with emphasis on the case that the underlying L'{e}vy process is spectrally one sided.

Full work available at URL: https://arxiv.org/abs/math/0603210

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zbMATH Keywords

first passage problemWiener-Hopf factorizationinsurance risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

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Cited In (81)

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