Skip navigation
Skip navigation

On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramer case

Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross


For a bivariate Lévy process (ξt,η≥0 and initial value V0, define the generalised Ornstein-Uhlenbeck (GOU) process Vt, := eξt(V0 + ∫t 0e-ξs-dξ st≥0, and the associated stochastic integral process Zt := ∫t 0 e-ξs t≥ 0. Let Tz := inf {t >

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Applied Probability


File Description SizeFormat Image
01_Bankovsky_On_the_ruin_probability_of_the_2011.pdf181.74 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  22 January 2019/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator