Convolution equivalent Lévy processes and first passage times

We investigate the behavior of Lévy processes with convolution equivalent Lévy measures, up to the time of first passage over a high level u. Such problems arise naturally in the context of insurance risk where u is the initial reserve. We obtain a precise asymptotic estimate on the probability of first passage occurring by time T. This result is then used to study the process conditioned on first passage by time T. The existence of a limiting process as u.. is demonstrated, which leads to precise estimates for the probability of other events relating to first passage, such as the overshoot. A discussion of these results, as they relate to insurance risk, is also given