Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory

DOI10.1007/s11464-013-0186-5zbMath1310.60058arXiv1101.0445OpenAlexW3105198642MaRDI QIDQ2258121

Chuan-Cun Yin, Kam-Chuen Yuen

Publication date: 2 March 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.0445

zbMATH Keywords

occupation timescale functionspectrally negative Lévy processesinsurance risk theoryfluctuation identitygeneralized Dickson's formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

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