Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes

DOI10.1239/AAP/1222868183MaRDI QIDQ3535650zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ladder height processovershootundershootinsurance risk processLévy processsubexponential and convolution equivalent distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Renewal theory (60K05)

Recommendations

• 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
• On extreme ruinous behaviour of Lévy insurance risk processes
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• A note on limiting distribution for jumps of Lévy insurance risk model

Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Aspects of risk theory
• Moments of passage times for Lévy processes
• On convolution tails
• Overshoots and undershoots of Lévy processes
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Subexponential distributions and characterizations of related classes
• Subexponentiality and infinite divisibility
• VOTRE LÉVY RAMPE-T-IL?

Cited in

(11)

• Stability of overshoots of Markov additive processes
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• 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
• 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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