On extreme ruinous behaviour of Lévy insurance risk processes

C. Klüppelberg, A. E. Kyprianou

Research output: Contribution to journalArticle

21 Citations (Scopus)

Abstract

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 distributions for a general class of Levy insurance risk processes. The results bring the earlier conclusions of Asmussen and Klüppelberg (1996) for the Cramer-Lundberg process into greater generality. © Applied Probability Trust 2006.

Original languageEnglish
Pages (from-to)594-598
Number of pages5
JournalJournal of Applied Probability
Volume43
Issue number2
DOIs
Publication statusPublished - 2006

Keywords

  • Extreme value theory
  • Insurance risk process
  • Ĺevy process
  • Ruin

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