Ruin probabilities for Lévy processes with mixed-exponential negative jumps

Prepublicaciones de Matemática de la Universidad de la República, 1999/28.
Theory of Probability and its Applications (to appear, 2002).

Abstract: Closed form of the ruin probability for a Lévy process, possibly killed at a constant rate, with arbitrary positive, and mixed exponentially negative jumps is given.

Keywords: Ruin probability, closed form, Levy process, mixed-exponential distributions.


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