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]
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