On suprema of Lévy processes and application in risk theory
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Publication:731712
DOI10.1214/07-AIHP142zbMath1178.60036MaRDI QIDQ731712
Publication date: 8 October 2009
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/78000
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Related Items (11)
A distributional equality for suprema of spectrally positive Lévy processes ⋮ Trace estimates for unimodal Lévy processes ⋮ On the refracted-reflected spectrally negative Lévy processes ⋮ Dirichlet heat kernel for unimodal Lévy processes ⋮ A Wiener-Hopf Monte Carlo simulation technique for Lévy processes ⋮ Occupation times of refracted Lévy processes ⋮ Hitting times of points and intervals for symmetric Lévy processes ⋮ Distribution of suprema for generalized risk processes ⋮ Refracted Lévy processes ⋮ Convexity and smoothness of scale functions and de Finetti's control problem ⋮ Exact simulation of the extrema of stable processes
Cites Work
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- Regularity of the half-line for Lévy processes
- Regenerative embedding of Markov sets
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Ruin probabilities and decompositions for general perturbed risk processes.
- Introductory lectures on fluctuations of Lévy processes with applications.
- VOTRE LÉVY RAMPE-T-IL?
- On extreme ruinous behaviour of Lévy insurance risk processes
- Ruin probabilities for competing claim processes
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