TY - JOUR
T1 - On extreme ruinous behaviour of Levy insurance risk processes
AU - Kluppelberg, C
AU - Kyprianou, A E
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
UR - http://dx.doi.org/10.1239/jap/1152413744
U2 - 10.1239/jap/1152413744
DO - 10.1239/jap/1152413744
M3 - Article
VL - 43
SP - 594
EP - 598
JO - Journal of Applied Probability
JF - Journal of Applied Probability
SN - 0021-9002
IS - 2
ER -