Passage times for a spectrally negative Lévy process with applications to risk theory

DOI10.3150/bj/1120591186zbMath1076.60038OpenAlexW2036666401MaRDI QIDQ2565931

Yanyan Li

Publication date: 28 September 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1120591186

zbMATH Keywords

first passage timelast passage time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

Related Items (28)

Splitting and time reversal for Markov additive processes ⋮ Optimality of excess-loss reinsurance under a mean-variance criterion ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Sparre Andersen identity and the last passage time ⋮ Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes ⋮ Parameter estimation for a class of radial basis function-based nonlinear time-series models with moving average noises ⋮ Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Joint distributions concerning last exit time for diffusion processes ⋮ Parameter identification of a nonlinear radial basis function‐based state‐dependent autoregressive network with autoregressive noise via the filtering technique and the multiinnovation theory ⋮ The hitting time for a Cox risk process ⋮ Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Bridging the first and last passage times for Lévy models ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ A Lévy Insurance Risk Process with Tax ⋮ Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ Risk modelling on liquidations with Lévy processes ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Exact and asymptotic \(n\)-tuple laws at first and last passage ⋮ Smoothness of scale functions for spectrally negative Lévy processes ⋮ On the last exit times for spectrally negative Lévy processes ⋮ First and last passage times of spectrally positive Lévy processes with application to reliability ⋮ Occupation times of intervals until last passage times for spectrally negative Lévy processes ⋮ The time of ultimate recovery in Gaussian risk model ⋮ “On a Classical Risk Model with a Constant Dividend Barrier”, Xiaowen Zhou, October 2005 ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes

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