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Moment and MGF Convergence of Overshoots and Undershoots for Levy Insurance Risk Processes

Park, Hyun Suk; Maller, Ross

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

CollectionsANU 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

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