Sparre Andersen identity and the last passage time

DOI10.1017/JPR.2016.24MaRDI QIDQ3188591zbMATH OpenOpenAlexFDO

Authors Jevgenijs Ivanovs

Publication date 11 August 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.04542, https://projecteuclid.org/euclid.jap/1466172878

zbMATH Keywords

random walkstime reversallast passage timeexchangeable incrementsuniform lawLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Exchangeability for stochastic processes (60G09)

Abstract: It is shown that the celebrated result of Sparre Andersen for random walks and L'evy processes has intriguing consequences when the last time of the process in $(-infty,0]$, say $sigma$, is added to the picture. In the case of no positive jumps this leads to six random times, all of which have the same distribution - the uniform distribution on $[0,sigma]$. Surprisingly, this result does not appear in the literature, even though it is based on some classical observations concerning exchangeable increments.

Recommendations

• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Stochastic bounds for the Sparre Andersen process
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• The ruin time under the Sparre Andersen dual model
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

Cites work

• scientific article; zbMATH DE number 1619468 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 936413 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3083897 (Why is no real title available?)
• Applied Probability and Queues
• ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
• On the fluctuations of sums of random variables
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Ruin probabilities
• Stochastic-Process Limits
• Time Reversions of Markov Processes
• Two Consequences of a Path Transform

Cited in

(3)

• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Splitting and time reversal for Markov additive processes
• Occupation times of alternating renewal processes with Lévy applications

This page was built for publication: Sparre Andersen identity and the last passage time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3188591)