Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
DOI10.1239/AAP/1222868183zbMATH Open1149.60027OpenAlexW1989345726MaRDI QIDQ3535650FDOQ3535650
Authors: Hyun Suk Park, Ross A. Maller 
Publication date: 13 November 2008
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1222868183
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- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- A note on limiting distribution for jumps of Lévy insurance risk model
ladder height processovershootundershootinsurance risk processLévy processsubexponential and convolution equivalent distributions
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Renewal theory (60K05)
Cites Work
- Subexponentiality and infinite divisibility
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- On convolution tails
- Subexponential distributions and characterizations of related classes
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Overshoots and undershoots of Lévy processes
- VOTRE LÉVY RAMPE-T-IL?
- Aspects of risk theory
- Moments of passage times for Lévy processes
Cited In (11)
- Stability of overshoots of Markov additive processes
- Ruin probabilities and overshoots for general Lévy insurance risk 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
- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- Stability of the exit time for Lévy processes
- Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
- A note on limiting distribution for jumps of Lévy insurance risk model
- On extreme ruinous behaviour of Lévy insurance risk processes
- The uniform local asymptotics for a Lévy process and its overshoot and undershoot
- Asymptotics for the moments of the overshoot and undershoot of a random walk
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