Search Results - subject:"Convolution equivalent"

Finite time ruin probabilities for tempered stable insurance risk processes

Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 478-489

We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin...

Persistent link: https://www.econbiz.de/10010702907

Finite time ruin probabilities for tempered stable insurance risk processes

Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 478-489

Persistent link: https://www.econbiz.de/10010195908

Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

Griffin, Philip S.; Maller, Ross A.; Schaik, Kees van - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 382-392

level, for a Lévy process which drifts to −∞ and satisfies a Cramér or a convolution equivalent condition. We derive these … asymptotics under minimal conditions in the Cramér case, and compare them with known results for the convolution equivalent case …. Thus, at least regarding these quantities, the “medium-heavy” tailed convolution equivalent model segues into the “light …

Persistent link: https://www.econbiz.de/10011046598