The uniform local asymptotics for a Lévy process and its overshoot and undershoot

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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scientific article; zbMATH DE number 6315464
Uniform asymptotics of ruin probabilities for Lévy processes
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Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

Cites work

scientific article; zbMATH DE number 1402217 (Why is no real title available?)
A local limit theorem for random walk maxima with heavy tails
A property of the renewal counting process with application to the finite-time ruin probability
Applications of factorization embeddings for Lévy processes
Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
Asymptotic behaviour of the finite-time ruin probability in renewal risk models
Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
Asymptotics for sums of random variables with local subexponential behaviour
Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
Convolution equivalence and infinite divisibility
Equivalent conditions of local asymptotics for the overshoot of a random walk with heavy-tailed increments
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
Lower limits and upper limits for tails of random sums supported on \(\mathbb R\)
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
On a class of Lévy processes
On the distribution of the maxima of partial sums
On the supremum of an infinitely divisible process
Overshoots and undershoots of Lévy processes
Random walks with non-convolution equivalent increments and their applications
Ruin probabilities and overshoots for general Lévy insurance risk processes
Some discussions on the local distribution classes
Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
Subexponential distributions and characterizations of related classes
Subexponential distributions and integrated tails
The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
The overshoot of a random walk with negative drift
UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
Uniform asymptotics of the finite-time ruin probability for all times

Cited in

(6)

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
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

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