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- Title
MOMENT AND MGF CONVERGENCE OF OVERSHOOTS AND UNDERSHOOTS FOR LÉVY INSURANCE RISK PROCESSES.
- Authors
Hyun Suk Park; Maller, Ross
- 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 information relevant to quantities associated with the ruin of an insurance risk process. Results of Klüppelberg, Kyprianou, and Maller (2004) and Doney and Kyprianou (2006) for asymptotic overshoot and undershoot distributions in the class of Lévy processes with convolution equivalent canonical measures are shown to have moment and MGF convergence extensions.
- Subjects
RISK (Insurance); MATHEMATICS in life insurance; COMBINATORICS; GENERATING functions; NONINSURABLE risks
- Publication
Advances in Applied Probability, 2008, Vol 40, Issue 3, p716
- ISSN
0001-8678
- Publication type
Article
- DOI
10.1239/aap/1222868183