Convolution equivalent Lévy processes and first passage times
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Publication:363857
DOI10.1214/12-AAP879zbMath1347.60054arXiv1205.5054MaRDI QIDQ363857
Publication date: 5 September 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.5054
functional limit theorem; ruin probability; first passage time; Lévy process; convolution equivalence; insurance risk
60G51: Processes with independent increments; Lévy processes
60F17: Functional limit theorems; invariance principles
Related Items
Gaussian risk models with financial constraints, Ruin problem of a two-dimensional fractional Brownian motion risk process, Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions, Sample paths of a Lévy process leading to first passage over high levels in finite time, On the \(\gamma\)-reflected processes with fBm input, General tax structures for a Lévy insurance risk process under the Cramér condition, Finite time ruin probabilities for tempered stable insurance risk processes, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Approximation of Passage Times of γ-Reflected Processes with FBM Input, Parisian ruin of self-similar Gaussian risk processes
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