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On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramer case

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Date

2011

Authors

Bankovsky, Damien
Klüppelberg, Claudia
Maller, Ross

Journal Title

Journal ISSN

Volume Title

Publisher

Applied Probability Trust

Abstract

For a bivariate Lévy process (ξt,η≥0 and initial value V0, define the generalised Ornstein-Uhlenbeck (GOU) process Vt, := eξt(V0 + ∫t 0e-ξs-dξ st≥0, and the associated stochastic integral process Zt := ∫t 0 e-ξs t≥ 0. Let Tz := inf {t >

Description

Keywords

Keywords: Exponential functionals of lévy processes; Generalised ornstein-uhlenbeck process; Ruin probability; Stochastic recurrence equation

Citation

URI

http://hdl.handle.net/1885/19965

Collections

ANU Research Publications

Source

Journal of Applied Probability

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until

2037-12-31

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