Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

DOI10.1137/S0040585X980178MaRDI QIDQ4830844zbMATH OpenFDO

Authors Ernesto Mordecki

Publication date 16 December 2004

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

ruin probabilityLévy processesmixed-exponential distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(17)

• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Optimal stopping for Lévy processes with one-sided solutions
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• A note on pasting conditions for the American perpetual optimal stopping problem
• Distributions of the location of maximuma and minimuma for diffusions with jumps
• Distributions of functionals of diffusions with jumps, stopped at random times
• On the first exit time from an interval for diffusions with jumps
• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
• A Monte Carlo algorithm for the extrema of tempered stable processes
• Joint distribution of the supremum and the moment of its attainment by a Poisson process with linear drift
• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum
• Joint distributions of the the infimum, supremum, and end of a Brownian motion with jumps
• On optimality of the barrier strategy for a general Lévy risk process
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• Distribution of sojourn time for a Brownian motion with jumps

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