On series expansions for scale functions and other ruin-related quantities

DOI10.1080/03461238.2019.1663444zbMath1447.91142OpenAlexW2972681333WikidataQ127239399 ScholiaQ127239399MaRDI QIDQ5117674

David Landriault, Gordon E. Willmot

Publication date: 26 August 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1663444

zbMATH Keywords

ruin probabilityscale functionspectrally negative Lévy process(perturbed) compound Poisson risk processLaplace transform of time to ruin

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Related Items (6)

Remarks on a generalized inverse Gaussian type integral with applications ⋮ On q-scale functions of spectrally negative Lévy processes ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ On scale functions for Lévy processes with negative phase-type jumps

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