The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps

DOI10.1017/jpr.2019.62zbMath1427.60083arXiv1907.02991OpenAlexW2995750765MaRDI QIDQ5205944

Ekaterina Todorova Kolkovska, Ehyter Matías Martín-González

Publication date: 17 December 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.02991

zbMATH Keywords

Wiener-Hopf factorizationLévy risk processnegative Wiener-Hopf factortwo-sided jump Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Risk models (general) (91B05)

Related Items (2)

Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps

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