Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
Year of publication: |
2024
|
---|---|
Authors: | Kreveld, Lucas van ; Mandjes, Michel ; Dorsman, Jan-Pieter |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2024.2024, 6, p. 561-582
|
Subject: | Cramér-Lundberg asymptotics | Lévy process | Markov additive process | overshoot | ruin probability | running maximum |
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