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http://cimat.repositorioinstitucional.mx/jspui/handle/1008/580| The Negative Wiener-Hopf Factor of Two-Sided Jumps Lévy Processes, and Application to Insurance Risk Theory | |
| EKATERINA TODOROVA KOLKOVSKA | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Procesos de Levy | |
| We consider a class of two-sided jumps L ́ evy processes whose positive jumps have a rational Laplace transform, and obtain an explicit expression for the probability density of their negative Wiener-Hopf factor. This formula is in terms of an infinite series of convolutions of known functions, which we present explicitly. This result, together with the corresponding quintuple law of the overshoots and undershoots of the process, allows us to obtain an expression for the corresponding Generalized Expected discounted penalty function, which was introduced in Biffis and Morales [2010]. | |
| Centro de Investigación en Matemáticas AC | |
| 15-12-2016 | |
| Reporte | |
| Inglés | |
| Investigadores | |
| PROBABILIDAD | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
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| Fichero | Tamaño | Formato | |
|---|---|---|---|
| I-16-06.pdf | 1.18 MB | Adobe PDF | Visualizar/Abrir |