A note on scale functions and the time value of ruin for Lévy insurance risk processes (Q659186)

scientific article; zbMATH DE number 6004673

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English	A note on scale functions and the time value of ruin for Lévy insurance risk processes	scientific article; zbMATH DE number 6004673

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instance of

scholarly article

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title

A note on scale functions and the time value of ruin for Lévy insurance risk processes (English)

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Insurance Mathematics \& Economics

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publication date

10 February 2012

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zbMATH Keywords

scale functions

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ruin

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spectrally negative Lévy processes

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Gerber-Shiu function

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Laplace transform

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2009.04.005

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cites work

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On the expected discounted penalty function at ruin of a surplus process with interest.

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Smoothness of scale functions for spectrally negative Lévy processes

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Some explicit identities associated with positive self-similar Markov processes

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

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On the distribution of the claim causing ruin

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Overshoots and undershoots of Lévy processes

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Risk processes perturbed by α-stable Lévy motion

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On The Expected Discounted Penalty function for Lévy Risk Processes

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The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

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On the Time Value of Ruin

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A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier

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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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Ruin probabilities and decompositions for general perturbed risk processes.

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Refracted Lévy processes

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

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Convexity and smoothness of scale functions and de Finetti's control problem

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General tax Structures and the Lévy Insurance Risk Model

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Completely asymmetric Lévy processes confined in a finite interval

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Analysis of a defective renewal equation arising in ruin theory

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An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density

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An optimal dividends problem with transaction costs for spectrally negative Lévy processes

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On the expected discounted penalty function for a perturbed risk process driven by a subordinator

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Q4662395

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Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

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Evaluating first-passage probabilities for spectrally one-sided Lévy processes

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Evaluating Scale Functions of Spectrally Negative Lévy Processes

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Identifiers

zbMATH Open document ID

1231.91145

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Mathematics Subject Classification ID

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10.1016/J.INSMATHECO.2009.04.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:659186