Spectrally negative Lévy processes with applications in risk theory
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Publication:2726729
DOI10.1239/aap/999187908zbMath0978.60104OpenAlexW2079934112MaRDI QIDQ2726729
Publication date: 15 January 2002
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/999187908
exponential integralsubordinatorruin probabilitygamma processfirst hitting timesspectrally negative Lévy processesfirst recovery timerisk processes perturbed by diffusion
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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