Document Type

Journal Article

Department/Unit

Department of Mathematics

Language

English

Abstract

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. © 2005 ISI/BS.

Keywords

First passage time, Last passage time, Risk theory, Spectrally negative lévy process

Publication Date

5-31-2005

Source Publication Title

Bernoulli

Volume

3

Issue

11

Start Page

511

End Page

522

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Peer Reviewed

1

Copyright

1350–7265 © 2005 ISI/BS

Funder

This research was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKBU 2048/02P) and the Natural Science Foundation of China (No. 10471076).

DOI

10.3150/bj/1120591186

Link to Publisher's Edition

http://dx.doi.org/10.3150/bj/1120591186

ISSN (print)

13507265

Included in

Mathematics Commons

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