Ruin probabilities and overshoots for general Lévy insurance risk processes

Annals of Applied Probability

Volumn 14, Issue 4, 2004, Pages 1766-1801

  Klüppelberg, Claudia ^a   Kyprianou, Andreas E ^b   Maller, Ross A ^c,d  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UTRECHT UNIVERSITY   (Netherlands)

^c AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^d AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Conditional limit theorem; Convolution equivalent distributions; First passage time; Heavy tails; Insurance risk process; Ladder process; L vy process; Overshoot; Ruin probability; Subexponential distributions

Indexed keywords

EID: 26844542054     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000927     Document Type: Article

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