4 citations · 6 across the 4 of their papers we have counts for
5 papers · 1 filter
General tax structures for a Lévy insurance risk process under the Cramér condition
Philip Griffin
We investigate the Levy insurance risk model with tax under Cramér's condition. A direct analogue of Cramér's estimate for the probability of ruin in this model is obtained, togeth…
Cramér's Estimate for the Reflected Process Revisited
R. A. Doney, Philip S. Griffin
The reflected process of a random walk or Lévy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the…
Finite Time Ruin Probabilities for Tempered Stable Insurance Risk Processes
Philip S. Griffin, Ross A. Maller, Dale Roberts
We study the probability of ruin before time for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes.…
Asymptotic Distributions of the Overshoot and Undershoots for the Lévy Insurance Risk Process in the Cramér and Convolution Equivalent Cases
Philip S Griffin, Ross A Maller, Kees van Schaik
Recent models of the insurance risk process use a Lévy process to generalise the traditional Cramér-Lundberg compound Poisson model. This paper is concerned with the behaviour of t…
Pruitt's Estimates in Banach Space
Philip S. Griffin
Pruitt's estimates on the expectation and the distribution of the time taken by a random walk to exit a ball of radius r are extended to the infinite dimensional setting. It is sho…