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

DOI10.1239/aap/1222868183zbMath1149.60027MaRDI QIDQ3535650

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

Lévy process; ladder height process; overshoot; undershoot; insurance risk process; subexponential and convolution equivalent distributions

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F05: Central limit and other weak theorems

60K05: Renewal theory

Related Items

Asymptotics for the moments of the overshoot and undershoot of a random walk, Path decomposition of ruinous behavior for a general Lévy insurance risk process, A note on limiting distribution for jumps of Lévy insurance risk model, Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases, The uniform local asymptotics for a Lévy process and its overshoot and undershoot, Stability of the exit time for Lévy processes

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