The distribution and asymptotic behaviour of the negative Wiener-Hopf factor for Lévy processes with rational positive jumps

DOI10.1017/JPR.2019.62MaRDI QIDQ5205944zbMATH OpenOpenAlexFDO

Authors Ekaterina Todorova Kolkovska, Ehyter Matías Martín-González

Publication date 17 December 2019

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

Full work available at URL https://arxiv.org/abs/1907.02991

zbMATH Keywords

Wiener-Hopf factorizationLévy risk processnegative Wiener-Hopf factortwo-sided jump Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Risk models (general) (91B05)

Abstract: We study the distribution of the negative Wiener-Hopf factor for a class of two-sided jumps L'evy processes whose positive jumps have a rational Laplace transform. The positive Wiener-Hopf factor for this class of processes was studied by Lewis and Mordecki (2008). Here we obtain a formula for the Laplace transform of the negative Wiener-Hopf factor, as well as an explicit expression for its probability density, which is in terms of sums of convolutions of known functions. Under additional regularity conditions on the L'evy measure of the studied processes, we also provide asymptotic results as $uo-infty$ for the distribution function $F(u)$ of the negative Wiener-Hopf factor. We illustrate our results in some particular examples.

Recommendations

• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• Wiener-Hopf factorization for a family of Lévy processes related to theta functions

Cites work

• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• On the time to ruin for Erlang(2) risk processes.
• Russian and American put options under exponential phase-type Lévy models.
• Subexponentiality and infinite divisibility
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
• Wiener-Hopf factorization for a family of Lévy processes related to theta functions

Cited in

(7)

• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• Wiener-Hopf factorization for a family of Lévy processes related to theta functions
• Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• VOTRE LÉVY RAMPE-T-IL?
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps

This page was built for publication: The distribution and asymptotic behaviour of the negative Wiener-Hopf factor for Lévy processes with rational positive jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5205944)