Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
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
|Collections||ANU Research Publications|
|Source:||Insurance; Mathematics and Economics|
|01_Griffin_Asymptotic_distributions_of_2012.pdf||358.09 kB||Adobe PDF||Request a copy|
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