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

DOI10.1016/J.JKSS.2010.07.001MaRDI QIDQ744595zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites work

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• Aspects of risk theory
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
• Overshoots and undershoots of Lévy processes
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• VOTRE LÉVY RAMPE-T-IL?

Cited in

(7)

• On extreme ruinous behaviour of Lévy insurance risk processes
• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
• 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 the analysis of deep drawdowns for the Lévy insurance risk model

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