Department of Mathematics
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.
First passage time, Last passage time, Risk theory, Spectrally negative lévy process
Source Publication Title
Bernoulli Society for Mathematical Statistics and Probability
1350–7265 © 2005 ISI/BS
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).
Link to Publisher's Edition
Chiu, S., & Yin, C. (2005). Passage times for a spectrally negative Lévy process with applications to risk theory. Bernoulli, 3 (11), 511-522. https://doi.org/10.3150/bj/1120591186