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Parisian ruin probability for spectrally negative Lévy processes
L´ evy process ruin probability Parisian ruin risk process
2011/3/23
In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
Occupation times of spectrally negative Lévy processes with applications
Occupation time spectrally negative Lévy processes fluctuation theory scale functions
2011/2/21
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results
for standard Brownia...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. ...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/28
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. T...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Ornstein-Uhlenbeck Process deduce generalized hypergeometric functions
2009/3/27
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Laplace transform Spectrally Negative hypergeometric functions
2009/3/23
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...