On extreme ruinous behaviour of Lévy insurance risk processes
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Publication:3410936
DOI10.1239/jap/1152413744zbMath1118.60071OpenAlexW2090454136MaRDI QIDQ3410936
Andreas E. Kyprianou, Claudia Klüppelberg
Publication date: 16 November 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1152413744
Extreme value theory; extremal stochastic processes (60G70) Markov renewal processes, semi-Markov processes (60K15) Local time and additive functionals (60J55) Renewal theory (60K05)
Related Items (21)
A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes ⋮ Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Discrete time ruin probability with Parisian delay ⋮ On the refracted-reflected spectrally negative Lévy processes ⋮ A Lévy Insurance Risk Process with Tax ⋮ Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims ⋮ Occupation times of refracted Lévy processes ⋮ 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 ⋮ Refracted Lévy processes ⋮ Convexity and smoothness of scale functions and de Finetti's control problem ⋮ Optimal control and dependence modeling of insurance portfolios with Lévy dynamics ⋮ Occupation times of spectrally negative Lévy processes with applications ⋮ Distribution of the Present Value of Dividend Payments in a Lévy Risk Model ⋮ Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process ⋮ On suprema of Lévy processes and application in risk theory ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
Cites Work
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- Large deviations results for subexponential tails, with applications to insurance risk
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Ruin probabilities and decompositions for general perturbed risk processes.
- Overshoots and undershoots of Lévy processes
- VOTRE LÉVY RAMPE-T-IL?
- Subexponentiality and infinite divisibility
- Ruin probabilities for competing claim processes
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