Abstract
We study the tail behavior of the distribution of certain subadditive functional acting on the sample paths of Levy processes. The functional we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our results apply to ruin probabilities, distributions of sojourn times over curves, last hitting times and other functionals.
| Original language | English |
|---|---|
| Pages (from-to) | 69-100 |
| Number of pages | 32 |
| Journal | Annals of Applied Probability |
| Volume | 12 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Feb 2002 |
Keywords
- Heavy tails
- Last hitting time
- Lévy process
- Negative drift
- Risk
- Ruin probability
- Sojourn time
- Subadditive functional
- Supremum
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty