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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2003 Volume 48, Issue 1, Pages 188–194 (Mi tvp310)
This article is cited in 26 papers

Short Communications

Ruin probabilities for Lévy processes with mixed-exponential negative jumps

É. Mordecki

Facultad de Ciencias, Centro de Matemática

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

Language: English

DOI: 10.4213/tvp310


 English version: Theory of Probability and its Applications, 2004, 48:1, 170–176

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