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Article: Spectrally negative Lévy processes with applications in risk theory
Title | Spectrally negative Lévy processes with applications in risk theory |
---|---|
Authors | |
Keywords | Exponential Integral First Hitting Times First Recovery Time Gamma Process Risk Processes Perturbed By Diffusion Ruin Probability Spectrally Negative Lévy Processes Subordinator |
Issue Date | 2001 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Advances in Applied Probability, 2001, v. 33 n. 1, p. 281-291 How to Cite? |
Abstract | In this paper, results on spectrally negative Lévy processes are used to study the ruin probability under some risk processes. These processes include the compound Poisson process and the gamma process, both perturbed by diffusion. In addition, the first time the risk process hits a given level is also studied. In the case of classical risk process, the joint distribution of the ruin time and the first recovery time is obtained. Some results in this paper have appeared before (e.g., Dufresne and Gerber (1991), Gerber (1990), dos Reis (1993)). We revisit them from the Lévy process theory's point of view and in a unified and simple way. |
Persistent Identifier | http://hdl.handle.net/10722/172388 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.640 |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yang, H | en_US |
dc.contributor.author | Zhang, L | en_US |
dc.date.accessioned | 2012-10-30T06:22:17Z | - |
dc.date.available | 2012-10-30T06:22:17Z | - |
dc.date.issued | 2001 | en_US |
dc.identifier.citation | Advances in Applied Probability, 2001, v. 33 n. 1, p. 281-291 | en_US |
dc.identifier.issn | 0001-8678 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172388 | - |
dc.description.abstract | In this paper, results on spectrally negative Lévy processes are used to study the ruin probability under some risk processes. These processes include the compound Poisson process and the gamma process, both perturbed by diffusion. In addition, the first time the risk process hits a given level is also studied. In the case of classical risk process, the joint distribution of the ruin time and the first recovery time is obtained. Some results in this paper have appeared before (e.g., Dufresne and Gerber (1991), Gerber (1990), dos Reis (1993)). We revisit them from the Lévy process theory's point of view and in a unified and simple way. | en_US |
dc.language | eng | en_US |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_US |
dc.relation.ispartof | Advances in Applied Probability | en_US |
dc.subject | Exponential Integral | en_US |
dc.subject | First Hitting Times | en_US |
dc.subject | First Recovery Time | en_US |
dc.subject | Gamma Process | en_US |
dc.subject | Risk Processes Perturbed By Diffusion | en_US |
dc.subject | Ruin Probability | en_US |
dc.subject | Spectrally Negative Lévy Processes | en_US |
dc.subject | Subordinator | en_US |
dc.title | Spectrally negative Lévy processes with applications in risk theory | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_OA_fulltext | en_US |
dc.identifier.doi | 10.1239/aap/999187908 | en_US |
dc.identifier.scopus | eid_2-s2.0-0035272526 | en_US |
dc.identifier.hkuros | 57108 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0035272526&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 33 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 281 | en_US |
dc.identifier.epage | 291 | en_US |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.scopusauthorid | Zhang, L=14326488200 | en_US |
dc.identifier.issnl | 0001-8678 | - |