On the Ruin Probability of the Generalised Ornstein-Uhlenbeck Process in the Cramér Case

Damien Bankowski, Claudia Klüppelberg, Ross Maller

For a bivariate \Levy process $({\xi }_t,{\eta }_t{)}_{t\ge 0}$ and initial value $V_0$ define the Generalised Ornstein-Uhlenbeck (GOU) process \[ V_t:=e^{ξ_t}\Big(V_0+\int_0^t e^{-ξ_{s-}}\ud η…