Overshoots and undershoots of Lévy processes

DOI10.1214/105051605000000647zbMath1101.60029arXivmath/0603210OpenAlexW3102711102MaRDI QIDQ2494574

Andreas E. Kyprianou, Ronald Arthur Doney

Publication date: 29 June 2006

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

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

zbMATH Keywords

Wiener-Hopf factorizationfirst passage probleminsurance risk process

Mathematics Subject Classification ID

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

Related Items (74)

Exit identities for Lévy processes observed at Poisson arrival times ⋮ Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Stability of the exit time for Lévy processes ⋮ Deep factorisation of the stable process. II: Potentials and applications ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Asymptotics for the moments of the overshoot and undershoot of a random walk ⋮ Potentials of Stable Processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Another look into decomposition results ⋮ The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes ⋮ Computing the finite-time expected discounted penalty function for a family of Lévy risk processes ⋮ Proper two-sided exits of a Lévy process ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ Law of the first passage triple of a spectrally positive strictly stable process ⋮ Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications ⋮ Lévy systems and the time value of ruin for Markov additive processes ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ A note on one-sided solutions for optimal stopping problems driven by Lévy processes ⋮ The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Meromorphic Lévy processes and their fluctuation identities ⋮ Explicit identities for Lévy processes associated to symmetric stable processes ⋮ Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Path decomposition of ruinous behavior for a general Lévy insurance risk process ⋮ On the Gerber–Shiu function with random discount rate ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes ⋮ Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin ⋮ First passage time law for some Lévy processes with compound Poisson: existence of a density ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models ⋮ Joint law of an Ornstein–Uhlenbeck process and its supremum ⋮ Applications of factorization embeddings for Lévy processes ⋮ Convolution equivalence and distributions of random sums ⋮ Local time of a diffusion in a stable Lévy environment ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Exact and asymptotic \(n\)-tuple laws at first and last passage ⋮ Convexity and smoothness of scale functions and de Finetti's control problem ⋮ Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes ⋮ Stopped diffusion processes: boundary corrections and overshoot ⋮ Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ On the expected discounted penalty function for a perturbed risk process driven by a subordinator ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ On fair reinsurance premiums; capital injections in a perturbed risk model ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ Some explicit identities associated with positive self-similar Markov processes ⋮ A note on limiting distribution for jumps of Lévy insurance risk model ⋮ On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain ⋮ Exit problems for the difference of a compound Poisson process and a compound renewal process ⋮ The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments ⋮ Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum) ⋮ On extreme ruinous behaviour of Lévy insurance risk processes ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ Metric gluing of Brownian and \(\sqrt{8/3}\)-Liouville quantum gravity surfaces ⋮ Connectivity properties of the adjacency graph of \(\text{SLE}_{\kappa}\) bubbles for \(\kappa\in(4,8)\) ⋮ Stable shredded spheres and causal random maps with large faces ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps ⋮ Multiple subordinated modeling of asset returns: Implications for option pricing ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes ⋮ Extended Gerber-Shiu functions in a risk model with interest ⋮ Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes ⋮ Unnamed Item ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On convolution tails
• Degeneracy properties of subcritical branching processes
• Large deviations results for subexponential tails, with applications to insurance risk
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Infinite divisibility and generalized subexponentiality
• On the Constant in the Definition of Subexponential Distributions
• VOTRE LÉVY RAMPE-T-IL?
• Hitting probabilities of single points for processes with stationary independent increments

This page was built for publication: Overshoots and undershoots of Lévy processes