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- W4244408301 abstract "Chiu and Yin (2005) found the Laplace transform of the last time a spectrally negative Lévy process, which drifts to ∞, is below some level. The main motivation for the study of this random time stems from risk theory: what is the last time the risk process, modeled by a spectrally negative Lévy process drifting to ∞, is 0? In this paper we extend the result of Chiu and Yin, and we derive the Laplace transform of the last time, before an independent, exponentially distributed time, that a spectrally negative Lévy process (without any further conditions) exceeds (upwards or downwards) or hits a certain level. As an application, we extend a result found in Doney (1991)." @default.
- W4244408301 created "2022-05-12" @default.
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- W4244408301 date "2009-06-01" @default.
- W4244408301 modified "2023-10-16" @default.
- W4244408301 title "Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes" @default.
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- W4244408301 doi "https://doi.org/10.1017/s0021900200005635" @default.
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