Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes
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]
|Collections||ANU Research Publications|
|Source:||Annals of Applied Probability 2004, Vol. 14, No. 4, 1766-1801|
|01_Kluppelberg_Ruin_Probabilities_2004.pdf||266.96 kB||Adobe PDF|
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