Spectrally negative Lévy processes with applications in risk theory

Advances in Applied Probability

Volumn 33, Issue 1, 2001, Pages 281-291

  Yang, Hailiang ^a   Zhang, Lianzeng ^b  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b NANKAI UNIVERSITY   (China)

Author keywords

Exponential integral; First hitting times; First recovery time; Gamma process; Risk processes perturbed by diffusion; Ruin probability; Spectrally negative L vy processes; Subordinator

Indexed keywords

DIFFUSION; MARKOV PROCESSES; MATHEMATICAL MODELS; POISSON EQUATION; RISKS;

GAMMA PROCESS; RISK THEORY; SPECTRALLY NEGATIVE LEVY PROCESSES;

PROBABILITY;

EID: 0035272526     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/999187908     Document Type: Article

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