Passage times for a spectrally negative Lévy process with applications to risk theory

Sung Nok CHIU*, Chuancun Yin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

34 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)511-522
Number of pages12
JournalBernoulli
Volume11
Issue number3
DOIs
Publication statusPublished - Jun 2005

Scopus Subject Areas

  • Statistics and Probability

User-Defined Keywords

  • First passage time
  • Last passage time
  • Risk theory
  • Spectrally negative lévy process

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