The uniform local asymptotics for a Lévy process and its overshoot and undershoot
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Publication:2807758
DOI10.1080/03610926.2013.861492zbMath1381.60087OpenAlexW2016209803MaRDI QIDQ2807758
Zhaolei Cui, Yue-bao Wang, Kai Yong Wang
Publication date: 25 May 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.861492
Lévy processesovershootfinite-time ruin probabilityundershootlocal ruin probabilityuniform local asymptotics
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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