On extreme ruinous behaviour of Levy insurance risk processes

C Kluppelberg, A E Kyprianou

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23 Citations (SciVal)


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.
Original languageEnglish
Pages (from-to)594-598
Number of pages5
JournalJournal of Applied Probability
Issue number2
Publication statusPublished - 2006


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