A note on scale functions and the time value of ruin for Lévy insurance risk processes

Author:

Biffis Enrico,Kyprianou Andreas E.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference53 articles.

1. A Lévy insurance risk process with tax;Albrecher;Journal of Applied Probability,2008

2. Numerical solution of Volterra and integro-differential equations of convolution type by using operational matrices of piecewise constant orthogonal functions;Babolian;Journal of Computational and Applied Mathematics,2008

3. Baurdoux, E., 2008. Last exit before an exponential time for spectrally negative Lévy processes. Advances in Applied Probability (in press)

4. Lévy Processes;Bertoin,1996

5. Biffis, E., Morales, M., 2008. On a generalization of the Gerber–Shiu function to path-dependent penalties. Tech. Rep.

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