Abstract
The distributions of the last passage time at a given level and the joint distributions of the last passage time, the first passage time and their difference for a general spectrally negative process are derived in the form of Laplace transforms. The results are applied to risk theory.
Citation
Sung Nok Chiu. Chuancun Yin. "Passage times for a spectrally negative Lévy process with applications to risk theory." Bernoulli 11 (3) 511 - 522, June 2005. https://doi.org/10.3150/bj/1120591186
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