Cramér asymptotics for finite time first passage probabilities of general Lévy processes

DOI10.1016/J.SPL.2009.04.014MaRDI QIDQ840787zbMATH OpenOpenAlexFDO

Authors Zbigniew Palmowski, Martijn R. Pistorius

Publication date 14 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0804.3169

zbMATH Keywords

boundary crossingfirst passageembedded random walkLévy processCramér asymptoticsHöglund's renewal theorem

Mathematics Subject Classification ID

Large deviations (60F10) Renewal theory (60K05)

Abstract: We derive the exact asymptotics of $P(su{p}_{uleqt}X(u)>x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional renewal theorem of H"{o}glund (1990).

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Cites work

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• An asymptotic expression for the probability of ruin within finite time
• Cramér's estimate for Lévy processes
• Hitting probabilities and large deviations
• Pricing Barrier Options with Time–Dependent Coefficients
• Ruin probabilities expressed in terms of ladder height distributions
• Sequential analysis. Tests and confidence intervals

Cited in

(17)

• On future drawdowns of Lévy processes
• The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
• Non-uniqueness of the first passage time density of Lévy random processes
• Non-asymptotic control of the cumulative distribution function of Lévy processes
• A note on first passage probabilities of a Lévy process reflected at a general barrier
• Exponential moments of first passage times and related quantities for Lévy processes
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Convolution equivalent Lévy processes and first passage times
• Cramér's estimate for Lévy processes
• Ruin probabilities in classical risk models with gamma claims
• Cramér's estimate for a reflected Lévy process
• Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
• scientific article; zbMATH DE number 1059747 (Why is no real title available?)
• Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
• Ruin probabilities for risk process in a regime-switching environment
• Asymptotics for the first passage times of Lévy processes and random walks
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation

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