The uniform local asymptotics for a Lévy process and its overshoot and undershoot
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- scientific article; zbMATH DE number 6315464
- Uniform asymptotics of ruin probabilities for Lévy processes
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Overshoots and undershoots of Lévy processes
- Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
Cites work
- 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
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- 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 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 overshoot of a random walk with negative drift
- The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
- Uniform asymptotics of the finite-time ruin probability for all times
- UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
Cited in
(6)- On the almost decrease of a subexponential density
- 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
- Uniform asymptotics of ruin probabilities for Lévy processes
- 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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