Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory

Abstract

We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of negative values. We apply our results to insurance risk theory to find an explicit expression for the generalized expected discounted penalty function in terms of scale functions. Further, a new expression for the generalized Dickson's formula is provided.

To appear in Front. Math. China

References in corpus (5)

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• Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes
• Overshoots and undershoots of Lévy processes
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