Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

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dc.contributor.authorGriffin, Philip S
dc.contributor.authorMaller, Ross
dc.contributor.authorvan Schaik, Kees
dc.date.accessioned2015-12-10T23:16:45Z
dc.date.issued2012
dc.date.updated2016-02-24T08:36:42Z
dc.description.abstractRecent 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.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/1885/65201
dc.publisherElsevier
dc.sourceInsurance; Mathematics and Economics
dc.subjectKeywords: Convolution equivalent distributions; Cramér condition; Insurance risk process; Lévy process; Overshoot; Ruin time; Undershoot
dc.titleAsymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage392
local.bibliographicCitation.startpage382
local.contributor.affiliationGriffin, Philip S, Syracuse University
local.contributor.affiliationMaller, Ross, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationvan Schaik, Kees, University of Manchester
local.contributor.authoremailu4061848@anu.edu.au
local.contributor.authoruidMaller, Ross, u4061848
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010400 - STATISTICS
local.identifier.ariespublicationf5625xPUB1069
local.identifier.citationvolume51
local.identifier.doi10.1016/j.insmatheco.2012.06.005
local.identifier.scopusID2-s2.0-84863636895
local.identifier.thomsonID000309028900017
local.identifier.uidSubmittedByf5625
local.type.statusPublished Version

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