161 citations · 225 across the 2 of their papers we have counts for
2 papers
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…
math.PR2004★ 64 cited
The tail of the stationary distribution of a random coefficient AR(q) model
Claudia Kluppelberg, Serguei Pergamenchtchikov
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a p…