On extreme ruinous behaviour of Levy insurance risk processes
Kluppelberg, C. and Kyprianou, A. E., 2006. On extreme ruinous behaviour of Levy insurance risk processes. Journal of Applied Probability, 43 (2), pp. 594-598.
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In this short note we show how new fluctuation identities and their associated asymptotics, given in Vigon (2002), Klüppelberg et al. (2004) and Doney and Kyprianou (2006), provide the basis for establishing, in an elementary way, asymptotic overshoot and undershoot distribitions for a general class of Lévy insurance risk processes. The results bring the earlier conclusions of Asmussen and Klüppelberg (1996) for the Cramér-Lundberg process into greater generality.
|Creators||Kluppelberg, C.and Kyprianou, A. E.|
|Departments||Faculty of Science > Mathematical Sciences|
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