Distribution of suprema for generalized risk processes

DOI10.1080/15326349.2018.1559740zbMath1451.60048arXiv1704.07340OpenAlexW2962839082MaRDI QIDQ5742574

Ivana Geček Tuđen

Publication date: 15 May 2019

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.07340

zbMATH Keywords

subordinatorLévy processfluctuation theoryladder height processnet profit conditionrisk theorysupremumPollaczek-Khinchine formulamodified ladder heights

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Actuarial mathematics (91G05)

Cites Work

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• A distributional equality for suprema of spectrally positive Lévy processes
• On suprema of Lévy processes and application in risk theory
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and decompositions for general perturbed risk processes.
• Spectrally negative Lévy processes with applications in risk theory
• Risk processes perturbed by α-stable Lévy motion
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion

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