Hao, Xuemiao; Li, Xuan; Shimizu, Yasutaka - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 14-23
We study the first-passage time over a fixed threshold for a pure-jump subordinator with negative drift. We obtain a closed-form formula for its survival function in terms of marginal density functions of the subordinator. We then use this formula to calculate finite-time survival probabilities...