The uniform local asymptotics for a Lévy process and its overshoot and undershoot
DOI10.1080/03610926.2013.861492zbMATH Open1381.60087OpenAlexW2016209803MaRDI QIDQ2807758FDOQ2807758
Authors: Zhaolei Cui, Yuebao Wang, Kaiyong 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
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- scientific article; zbMATH DE number 6315464
- Uniform asymptotics of ruin probabilities for Lévy processes
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overshootfinite-time ruin probabilityundershootlocal ruin probabilityuniform local asymptoticsLévy processes
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (6)
- Uniform asymptotics of ruin probabilities for Lévy processes
- Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
- Overshoots and undershoots of Lévy processes
- On the almost decrease of a subexponential density
- Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
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