Applications of factorization embeddings for Lévy processes
نویسنده
چکیده
We give three applications of the Pecherskii-Rogozin-Spitzer identity for Lévy processes: • Phase-type upward jumps: we find the joint distribution of the supremum and the epoch at which it is ‘attained’ if a Lévy process has phase-type upward jumps. We also find the characteristics of the ladder process. • Perturbed risk models: we establish general properties, and obtain explicit fluctuation identities in case the Lévy process is spectrally positive. • Asymptotics for Lévy processes: we study the tail distribution of the supremum under different assumptions on the tail of the Lévy measure.
منابع مشابه
Wiener-Hopf factorization for Lévy processes having negative jumps with rational transforms
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