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Teoriya Veroyatnostei i ee Primeneniya, 2003, Volume 48, Issue 1, Pages 188–194
DOI: https://doi.org/10.4213/tvp310 (Mi tvp310) 		 
This article is cited in 26 scientific papers (total in 26 papers)

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Ruin probabilities for Lévy processes with mixed-exponential negative jumps

É. Mordecki

Facultad de Ciencias, Centro de Matemática
Full-text PDF (689 kB) Citations (26)
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DOI: https://doi.org/10.4213/tvp310
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
English version:
Theory of Probability and its Applications, 2004, Volume 48, Issue 1, Pages 170–176
DOI: https://doi.org/10.1137/S0040585X980178
Bibliographic databases:
Document Type: Article
Language: English
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v48/i1/p188
    • This publication is cited in the following 26 articles:
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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