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This article is cited in 27 scientific papers (total in 27 papers)
Short Communications
Ruin probabilities for Lévy processes with mixed-exponential negative jumps
É. Mordecki Facultad de Ciencias, Centro de Matemática
Abstract:
We give a closed form of the ruin probability for Lévy processes, possible killed at a constant rate, with arbitrary, positive, and mixed exponentially negative jumps.
Keywords:
ruin probability, closed form, Lévy process, mixed-exponential distributions.
Received: 18.11.1999
Citation:
É. Mordecki, “Ruin probabilities for Lévy processes with mixed-exponential negative jumps”, Teor. Veroyatnost. i Primenen., 48:1 (2003), 188–194; Theory Probab. Appl., 48:1 (2004), 170–176
Linking options:
https://www.mathnet.ru/eng/tvp310https://doi.org/10.4213/tvp310 https://www.mathnet.ru/eng/tvp/v48/i1/p188
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Abstract page: | 408 | Full-text PDF : | 158 | References: | 54 |
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