Ivana Gevcek Tudjen

collaborators

3 papers

math.PR2017

Ruin probability for discrete risk processes

Ivana Geček Tuđen

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for thi…

math.PR2017

Distribution of suprema for generalized risk processes

Ivana Geček Tuđen

We study a generalized risk process $X (t) = Y (t) - C (t)$ , $t \in [0, τ]$ , where $Y$ is a Lévy process, $C$ an independent subordinator and $τ$ an independent exponential time. Dropping th…

math.PR2014

A distributional equality for suprema of spectrally positive Lévy processes

Ivana Geček Tudjen, Zoran Vondraček

Let $Y$ be a spectrally positive Lévy process with $E Y_{1} < 0$ , $C$ an independent subordinator with finite expectation, and $X = Y + C$ . A curious distributional equality proved in Huza…