Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes

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dc.creatorKluppelberg, Claudia
dc.creatorKyprianou, Andreas E.
dc.creatorMaller, Ross A.
dc.date2005-03-24
dc.date.accessioned2026-07-07T05:18:22Z
dc.date.available2026-07-07T05:18:22Z
dc.descriptionWe 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 [Adv. in Appl. Probab. 28 (1996) 207-226] for ruin probabilities and the overshoot in random walk and compound Poisson models are shown to have analogues in the general setup. The identities we derive open the way to further investigation of general renewal-type properties of Levy processes.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000927 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0503539
dc.identifierhttp://arxiv.org/abs/math/0503539
dc.identifierAnnals of Applied Probability 2004, Vol. 14, No. 4, 1766-1801
dc.identifierdoi:10.1214/105051604000000927
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/74635
dc.subjectProbability
dc.subject60J30, 60K05, 60K15, 90A46 (Primary) 60E07, 60G17, 60J15. (Secondary)
dc.titleRuin Probabilities and Overshoots for General Levy Insurance Risk Processes
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