The distributions of the last passage time at a given level and the joint distributions of the last passage time, the first passage time and their difference for a general spectrally negative process are derived in the form of Laplace transforms. The results are applied to risk theory.
Publié le : 2005-06-14
Classification:
first passage time,
last passage time,
spectrally negative Lévy process,
risk theory
@article{1120591186,
author = {Nok Chiu, Sung and Yin, Chuancun},
title = {Passage times for a spectrally negative L\'evy process with applications to risk theory},
journal = {Bernoulli},
volume = {11},
number = {1},
year = {2005},
pages = { 511-522},
language = {en},
url = {http://dml.mathdoc.fr/item/1120591186}
}
Nok Chiu, Sung; Yin, Chuancun. Passage times for a spectrally negative Lévy process with applications to risk theory. Bernoulli, Tome 11 (2005) no. 1, pp. 511-522. http://gdmltest.u-ga.fr/item/1120591186/