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Moment and MGF Convergence of Overshoots and Undershoots for Levy Insurance Risk Processes

Date

Authors

Park, Hyun Suk

Maller, Ross

Publisher

Applied Probability Trust

Abstract

This paper is concerned with the finiteness and large-time behaviour of moments of the overshoot and undershoot of a high level, and of their moment generating functions (MGFs), for a Lévy process which drifts to-∞ almost surely. This provides informat

Keywords

Keywords: Convolution; Function evaluation; Image segmentation; Insurance; Insurance risk process; Ladder height process; Overshoot; Subexponential and convolution equivalent distributions; Undershoot; Equivalence classes Insurance risk process; Ladder height process; Lévy process; Overshoot; Subexponential and convolution equivalent distributions; Undershoot

URI

http://hdl.handle.net/1885/31625

Collections

ANU Research Publications

Source

Advances in Applied Probability

Type

Journal article

DOI

10.1239/aap/1222868183

Restricted until

2037-12-31

Downloads

File

Description

01_Park_Moment_and_MGF_Convergence_of_2008.pdf (147.42 KB)

02_Park_Moment_and_MGF_Convergence_of_2008.pdf (917.03 KB)

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