Fluctuation theory for level-dependent Lévy risk processes

Irmina Czarna, José-Luis Pérez, Tomasz Rolski +1

A level-dependent Lévy process solves the stochastic differential equation $dU(t)=dX(t)-\varphi (U(t))dt$, where $X$ is a spectrally negative Lévy process. A special case is a multi-re…