A note on limiting distribution for jumps of Levy insurance risk model

作者：Park Hyun Suk^*

来源：Journal of the Korean Statistical Society, 2011, 40(1): 93-98.

DOI：10.1016/j.jkss.2010.07.001

• Levy insurance risk process
• Non-Cramer condition
• Log-normal processes
• Convolution equivalent distributions
• Quintuple law

Results of Doney and Kyprianou (2006) and Park and Maller (2008) for asymptotic overshoot and undershoot distributions in the class of a general Levy process with convolution equivalent measures are used to obtain the limiting distribution of the maximum process before ruin, the undershoot immediately before ruin and the overshoot at ruin, associated with the ruin time. It allows us to study estimation and derivation of limiting distribution extensions for jumps when a ruin occurs. Numerical study of finite sample versions are given for specific illustrations of the limiting distributions.

• 出版日期2011-3