A note on limiting distribution for jumps of Lévy insurance risk model

DOI10.1016/J.JKSS.2010.07.001zbMATH Open1296.91168OpenAlexW2014920833MaRDI QIDQ744595FDOQ744595

Hyun Suk Park

Publication date: 25 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.07.001

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zbMATH Keywords

quintuple lawconvolution equivalent distributionslog-normal processesLévy insurance risk processnon-Cramér condition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

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• 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
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• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
• Diffusion approximations for a risk process with the possibility of borrowing and investment

Cited In (6)

• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk 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
• On extreme ruinous behaviour of Lévy insurance risk processes
• On the analysis of deep drawdowns for the Lévy insurance risk model

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