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most citedWeak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory

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math.PR2017★ 1 cited

Classification of the Bounds on the Probability of Ruin for L{é}vy Processes with Light-tailed Jumps

Jérôme Spielmann

In this note, we study the ultimate ruin probabilities of a real-valued L{é}vy process X with light-tailed negative jumps. It is well-known that, for such L{é}vy processes, the pro…