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

Sung Nok Chiu; Chuancun Yin

doi:10.3150/bj/1120591186

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

Sung Nok Chiu^*, Chuancun Yin

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

46 Citations (Scopus)

54 Downloads (Pure)

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 language	English
Pages (from-to)	511-522
Number of pages	12
Journal	Bernoulli
Volume	11
Issue number	3
DOIs	https://doi.org/10.3150/bj/1120591186
Publication status	Published - Jun 2005

User-Defined Keywords

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

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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.",

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author = "Chiu, {Sung Nok} and Chuancun Yin",

note = "This research was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKBU 2048/02P) and the Natural Science Foundation of China (No. 10471076).",

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

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