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Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

Griffin, Philip S; Maller, Ross; van Schaik, Kees


Recent models of the insurance risk process use a Lévy process to generalise the traditional Cramér-Lundberg compound Poisson model. This paper is concerned with the behaviour of the distributions of the overshoot and undershoots of a high level, for a

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Insurance; Mathematics and Economics
DOI: 10.1016/j.insmatheco.2012.06.005


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