Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

We give a closed form of the ruin probability for Levy processes, possible killed at a constant rate, with arbitrary, positive, and mixed exponentially negative jumps.

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Bibliographische Detailangaben
Veröffentlicht in:Theory of probability and its applications 2004-01, Vol.48 (1), p.170-176
1. Verfasser: Mordecki, E.
Format: Artikel
Sprache:eng
Schlagworte:
Laplace transforms
Probability
Random variables
Stochastic models
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Beschreibung
Zusammenfassung:We give a closed form of the ruin probability for Levy processes, possible killed at a constant rate, with arbitrary, positive, and mixed exponentially negative jumps.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X980178