161 citations · 173 across the 2 of their papers we have counts for
2 papers
math.PR2005★ 12 cited
Cramer's estimate for a reflected Levy process
R. A. Doney, R. A. Maller
The natural analogue for a Levy process of Cramer's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measur…
math.PR2005★ 161 cited
Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes
Claudia Kluppelberg, Andreas E. Kyprianou, Ross A. Maller
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of th…