On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramer case
Date
2011
Authors
Bankovsky, Damien
Klüppelberg, Claudia
Maller, Ross
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Publisher
Applied Probability Trust
Abstract
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 >
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Keywords
Keywords: Exponential functionals of lévy processes; Generalised ornstein-uhlenbeck process; Ruin probability; Stochastic recurrence equation
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Source
Journal of Applied Probability
Type
Journal article
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Restricted until
2037-12-31