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Distribution of the first ladder height of a stationary risk process perturbed by [alpha]-stable Lévy motion

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  • Schmidli, Hanspeter

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  • Schmidli, Hanspeter, 2001. "Distribution of the first ladder height of a stationary risk process perturbed by [alpha]-stable Lévy motion," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 13-20, February.
    • Handle: RePEc:eee:insuma:v:28:y:2001:i:1:p:13-20
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    References listed on IDEAS

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    1. Asmussen, Søren & Frey, Andreas & Rolski, Tomasz & Schmidt, Volker, 1995. "Does Markov-Modulation Increase the Risk?," ASTIN Bulletin, Cambridge University Press, vol. 25(1), pages 49-66, May.
    2. Schlegel, Sabine, 1998. "Ruin probabilities in perturbed risk models," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 93-104, May.
    3. Asmussen, Søren & Schmidt, Volker, 1995. "Ladder height distributions with marks," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 105-119, July.
    4. Janssen, Jacques & Reinhard, Jean-Marie, 1985. "Probabilités de Ruine pour une Classe de Modèles de Risque Semi-Markoviens," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 123-133, November.
    5. Janssen, Jacques, 1980. "Some Transient Results on the M/SM/1 Special Semi-Markov Model in Risk and Queueing Theories," ASTIN Bulletin, Cambridge University Press, vol. 11(1), pages 41-51, June.
    6. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    7. Veraverbeke, Noel, 1993. "Asymptotic estimates for the probability of ruin in a Poisson model with diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 57-62, September.
    8. Furrer, H. J. & Schmidli, H., 1994. "Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 23-36, October.
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    1. Schmidli, Hanspeter, 2010. "On the Gerber-Shiu function and change of measure," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 3-11, February.

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