Moment and MGF Convergence of Overshoots and Undershoots for Lévy Insurance Risk Processes. Park, H. S. & Maller, R. Advances in Applied Probability, 40(3):716–733, September, 2008.
Moment and MGF Convergence of Overshoots and Undershoots for Lévy Insurance Risk Processes [link]Paper  doi  bibtex   
@Article{Park:2008:MMC,
  author =       "Hyun Suk Park and Ross Maller",
  title =        "Moment and {MGF} Convergence of Overshoots and
                 Undershoots for {L{\'e}vy} Insurance Risk Processes",
  journal =      j-ADV-APPL-PROB,
  volume =       "40",
  number =       "3",
  pages =        "716--733",
  month =        sep,
  year =         "2008",
  CODEN =        "AAPBBD",
  DOI =          "https://doi.org/10.2307/20443605",
  ISSN =         "0001-8678 (print), 1475-6064 (electronic)",
  ISSN-L =       "0001-8678",
  bibdate =      "Sat May 3 07:43:04 MDT 2014",
  bibsource =    "http://www.jstor.org/stable/i20443598;
                 http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
  URL =          "http://www.jstor.org/stable/20443605",
  acknowledgement = ack-nhfb,
  ajournal =     "Adv. Appl. Probab.",
  fjournal =     "Advances in Applied Probability",
  journal-URL =  "http://www.jstor.org/journals/00018678.html",
}

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