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Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes

Kluppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.


We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to -\infty a.s. and the positive tail of the Levy measure, or of the ladder height measure, is subexponential or, more generally, convolution equivalent. Results of Asmussen and Kluppelberg [Stochastic Process. Appl. 64 (1996) 103-125] and Bertoin and Doney...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
Source: Annals of Applied Probability 2004, Vol. 14, No. 4, 1766-1801
DOI: 10.1214/105051604000000927


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