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Article: Spectrally negative Lévy processes with applications in risk theory

TitleSpectrally negative Lévy processes with applications in risk theory
Authors
Yang, HZhang, L
KeywordsExponential Integral
First Hitting Times
First Recovery Time
Gamma Process
Risk Processes Perturbed By Diffusion
Ruin Probability
Spectrally Negative Lévy Processes
Subordinator
Issue Date2001
PublisherApplied 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?
DOI: http://dx.doi.org/10.1239/aap/999187908
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/172388
ISSN
0001-8678
2023 Impact Factor: 0.9
2023 SCImago Journal Rankings: 0.640
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_US
dc.contributor.authorZhang, Len_US
dc.date.accessioned2012-10-30T06:22:17Z-
dc.date.available2012-10-30T06:22:17Z-
dc.date.issued2001en_US
dc.identifier.citationAdvances in Applied Probability, 2001, v. 33 n. 1, p. 281-291en_US
dc.identifier.issn0001-8678en_US
dc.identifier.urihttp://hdl.handle.net/10722/172388-
dc.description.abstractIn 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.languageengen_US
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_US
dc.relation.ispartofAdvances in Applied Probabilityen_US
dc.subjectExponential Integralen_US
dc.subjectFirst Hitting Timesen_US
dc.subjectFirst Recovery Timeen_US
dc.subjectGamma Processen_US
dc.subjectRisk Processes Perturbed By Diffusionen_US
dc.subjectRuin Probabilityen_US
dc.subjectSpectrally Negative Lévy Processesen_US
dc.subjectSubordinatoren_US
dc.titleSpectrally negative Lévy processes with applications in risk theoryen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_OA_fulltexten_US
dc.identifier.doi10.1239/aap/999187908en_US
dc.identifier.scopuseid_2-s2.0-0035272526en_US
dc.identifier.hkuros57108-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0035272526&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume33en_US
dc.identifier.issue1en_US
dc.identifier.spage281en_US
dc.identifier.epage291en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.identifier.scopusauthoridZhang, L=14326488200en_US
dc.identifier.issnl0001-8678-

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