A distributional equality for suprema of spectrally positive Lévy processes

DOI10.1007/s10959-014-0593-5zbMath1350.60043arXiv1403.0431OpenAlexW2064854064MaRDI QIDQ325896

Zoran Vondraček, Ivana Geček Tuđen

Publication date: 11 October 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.0431

zbMATH Keywords

subordinatorLévy processdistributional equalitysupremum

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (1)

Distribution of suprema for generalized risk processes

Cites Work

• On suprema of Lévy processes and application in risk theory
• Ruin probabilities and decompositions for general perturbed risk processes.
• Ruin probabilities for competing claim processes
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