- Volume 11, Number 3 (2005), 511-522.
Passage times for a spectrally negative Lévy process with applications to risk theory
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.
Bernoulli, Volume 11, Number 3 (2005), 511-522.
First available in Project Euclid: 5 July 2005
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Nok Chiu, Sung; Yin, Chuancun. Passage times for a spectrally negative Lévy process with applications to risk theory. Bernoulli 11 (2005), no. 3, 511--522. doi:10.3150/bj/1120591186. https://projecteuclid.org/euclid.bj/1120591186