Generalized expected discounted penalty function at general drawdown for Lévy risk processes

DOI10.1016/j.insmatheco.2019.12.002zbMath1435.91162arXiv1906.01449OpenAlexW2996963739MaRDI QIDQ2306086

Wenyuan Wang, Shuanming Li, Ping Chen

Publication date: 20 March 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.01449

zbMATH Keywords

scale functionexcursion theoryspectrally negative Lévy processgeneral drawdown timegeneralized expected discounted penalty function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (6)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Risk modelling on liquidations with Lévy processes ⋮ A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process

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