Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

DOI10.1239/jap/1183667412zbMath1137.60047OpenAlexW2097724527MaRDI QIDQ5443742

Zbigniew Palmowski, Andreas E. Kyprianou

Publication date: 22 February 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1183667412

zbMATH Keywords

ruinreflected Lévy processintegrated exponential Lévy processinsurance risk processpassage problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Markov renewal processes, semi-Markov processes (60K15) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Local time and additive functionals (60J55) Renewal theory (60K05)

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