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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klüppelberg, C. and Kyprianou, A.E. 
Titel:
On extreme ruinous behaviour of Lévy Insurance risk processes 
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 Lévy insurance risk processes. The results bring the earlier conclusions of Asmussen and Klüppelberg (1996) for the Cramér-Lundberg process into greater generality. 
Zeitschriftentitel:
J. Appl. Probab. 
Jahr:
2006 
Band / Volume:
43 
Heft / Issue:
Seitenangaben Beitrag:
594-598 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 06 
Format:
Text