Moment and MGF Convergence of Overshoots and Undershoots for Levy Insurance Risk Processes
This paper is concerned with the finiteness and large-time behaviour of moments of the overshoot and undershoot of a high level, and of their moment generating functions (MGFs), for a Lévy process which drifts to-∞ almost surely. This provides informat
|Collections||ANU Research Publications|
|Source:||Advances in Applied Probability|
|01_Park_Moment_and_MGF_Convergence_of_2008.pdf||147.42 kB||Adobe PDF||Request a copy|
|02_Park_Moment_and_MGF_Convergence_of_2008.pdf||917.03 kB||Adobe PDF||Request a copy|
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