First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications

DOI10.1080/03461238.2012.723043zbMath1401.91160OpenAlexW2114652057MaRDI QIDQ4576858

Tianxiang Shi, David Landriault

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.723043

zbMATH Keywords

first passage timefluid queuebarrier optiondual risk modelspectrally negative Lévy processLagrange's expansion theoremKendall's identitynumbers of jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Number of jumps in two-sided first-exit problems for a compound Poisson process ⋮ A note on ruin problems in perturbed classical risk models ⋮ Analysis of IBNR claims in renewal insurance models ⋮ Occupation times in the MAP risk model ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ On a Stochastic Model for a Cooperative Banking Scheme for Microcredit

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