Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
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Griffin, Philip S; Maller, Ross; van Schaik, Kees
Description
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
dc.contributor.author | Griffin, Philip S | |
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dc.contributor.author | Maller, Ross | |
dc.contributor.author | van Schaik, Kees | |
dc.date.accessioned | 2015-12-10T23:16:45Z | |
dc.identifier.issn | 0167-6687 | |
dc.identifier.uri | http://hdl.handle.net/1885/65201 | |
dc.description.abstract | 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 | |
dc.publisher | Elsevier | |
dc.source | Insurance; Mathematics and Economics | |
dc.subject | Keywords: Convolution equivalent distributions; Cramér condition; Insurance risk process; Lévy process; Overshoot; Ruin time; Undershoot | |
dc.title | Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 51 | |
dc.date.issued | 2012 | |
local.identifier.absfor | 010400 - STATISTICS | |
local.identifier.ariespublication | f5625xPUB1069 | |
local.type.status | Published Version | |
local.contributor.affiliation | Griffin, Philip S, Syracuse University | |
local.contributor.affiliation | Maller, Ross, College of Physical and Mathematical Sciences, ANU | |
local.contributor.affiliation | van Schaik, Kees, University of Manchester | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 2 | |
local.bibliographicCitation.startpage | 382 | |
local.bibliographicCitation.lastpage | 392 | |
local.identifier.doi | 10.1016/j.insmatheco.2012.06.005 | |
dc.date.updated | 2016-02-24T08:36:42Z | |
local.identifier.scopusID | 2-s2.0-84863636895 | |
local.identifier.thomsonID | 000309028900017 | |
Collections | ANU Research Publications |
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