Occupation times of spectrally negative Lévy processes with applications
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.
Year of publication: |
2011
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Authors: | Landriault, David ; Renaud, Jean-François ; Zhou, Xiaowen |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 11, p. 2629-2641
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Publisher: |
Elsevier |
Keywords: | Occupation time Spectrally negative Levy processes Fluctuation theory Scale functions Ruin theory |
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