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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Veröffentlicht in:Theory of probability and its applications 2004-01, Vol.48 (1), p.170-176
1. Verfasser: Mordecki, E.
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container_title Theory of probability and its applications
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creator Mordecki, E.
description 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.
doi_str_mv 10.1137/S0040585X980178
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source LOCUS - SIAM's Online Journal Archive
subjects Laplace transforms
Probability
Random variables
Stochastic models
title Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
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