The Annals of Applied Probability

Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér–Lundberg and convolution equivalent conditions

Philip S. Griffin

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Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a Lévy insurance risk process under the Cramér–Lundberg and convolution equivalent conditions. For example, the limiting distributions of the overshoot and the undershoot are strikingly similar in these two settings. This is somewhat surprising since the global sample path behavior of the process under these two conditions is quite different. Using tools from excursion theory and fluctuation theory, we provide a means of transferring results from one setting to the other which, among other things, explains this connection and leads to new asymptotic results. This is done by describing the evolution of the sample paths from the time of the last maximum prior to ruin until ruin occurs.

Article information

Ann. Appl. Probab., Volume 26, Number 1 (2016), 360-401.

Received: September 2013
Revised: October 2014
First available in Project Euclid: 5 January 2016

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Zentralblatt MATH identifier

Primary: 60G51: Processes with independent increments; Lévy processes 60F17: Functional limit theorems; invariance principles
Secondary: 91B30: Risk theory, insurance 62P05: Applications to actuarial sciences and financial mathematics

Lévy insurance risk process Cramér–Lundberg convolution equivalence ruin time overshoot EDPF


Griffin, Philip S. Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér–Lundberg and convolution equivalent conditions. Ann. Appl. Probab. 26 (2016), no. 1, 360--401. doi:10.1214/14-AAP1094.

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