We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin...

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of...

The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level...

Lewis and Mordecki have computed the Wiener–Hopf factorization of a Lévy process whose restriction of the Lévy measure on ]0,+∞[ has a rational Laplace transform. This allowed them to compute the distribution of (Xt,inf0≤s≤tXs). For the same class of Lévy processes, we compute the...

Recently Kifer (2000) introduced the concept of an Israeli (or Game) option. That is a general American-type option with the added possibility that the writer may terminate the contract early inducing a payment exceeding the holder’s claim had they exercised at that moment. Kifer shows that...

Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot...

As is well-known, the benefit of restricting Lévy processes without positive jumps is the ' W,Z scale functions paradigm', by which the knowledge of the scale functions W,Z extends immediately to other risk control problems. The same is true largely for strong Markov processes X t , with the...

The Segerdahl-Tichy Process, characterized by exponential claims and state dependent drift, has drawn a considerable amount of interest, due to its economic interest (it is the simplest risk process which takes into account the effect of interest rates). It is also the simplest non-Lévy,...