Wiener-Hopf factorization for Lévy processes having negative jumps with rational transforms
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چکیده
We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant rate, with completely arbitrary positive distributed jumps, and finite intensity negative jumps with distribution characterized by having a rational Laplace or Fourier transform. Abbreviated Title: WH-factors of Lévy processes with rational jumps.
منابع مشابه
Wiener–hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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تاریخ انتشار 2005