On Extreme Ruinous Behaviour of Lévy Insurance Risk Processes
نویسندگان
چکیده
In this short note we show how new fluctuation identities and their associated asymptotics given in Vigon (2002), Klüppelberg et al. (2004) and Doney and Kyprianou (2006) provide the basis for establishing, in an elementary way, asymptotic overshoot and undershoot distribitions for a general class of Lévy insurance risk processes. The results bring the earlier conclusions of Asmussen and Klüppelberg (1996) for the Cramér-Lundberg process into greater generality.
منابع مشابه
Path Decomposition of Ruinous Behavior for a General Lévy Insurance Risk Process by Philip
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