Moment and MGF Convergence of Overshoots and Undershoots for Levy Insurance Risk Processes
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Description
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 |
|---|---|
| Date published: | 2008 |
| Type: | Journal article |
| URI: | http://hdl.handle.net/1885/31625 |
| Source: | Advances in Applied Probability |
| DOI: | 10.1239/aap/1222868183 |
Download
| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 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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