Ruin probabilities and decompositions for general perturbed risk processes.

DOI10.1214/105051604000000332zbMath1061.60075arXivmath/0407125OpenAlexW2150451746MaRDI QIDQ1879913

Zoran Vondraček, Miljenko Huzak, Hrvoje Šikić, Mihael Perman

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0407125

zbMATH Keywords

subordinatorruin probabilityrisk theoryspectrally negative Lévy processPollaczek-Khinchin formulaLaplace transform approach.

Mathematics Subject Classification ID

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Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Spectrally negative Lévy processes with applications in risk theory
• Risk processes perturbed by α-stable Lévy motion
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
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