|
Information and Service
|
|
| This Article | |
 |
Supporting info |
|
PDF(216KB) |
|
[HTML] |
|
Reference |
| Service and feedback | |
|
Add to Citation Manager |
|
Cite This Article |
|
Email Alert |
| Keywords | |
|
L\'evy process |
|
ruin probability |
|
survival probability |
|
martingale |
|
hitting time. |
| Authors | |
|
Zhao Yongxia |
|
Yin Chuancun |
| PubMed | |
|
Article by |
|
Article by |
A Generalization of the Classical Risk Model
Zhao Yongxia,Yin Chuancun
Department of Mathematics, Qufu Normal University
In this paper, we extend the classical risk process
to the process, which is a spectrally negative L\'evy process minus
a subordinator. Then some results of the ruin probability are
derived in terms of properties of L\'evy process and some techniques
from martingale theory. Finally, we derive some properties of
hitting time and a Pollaczek-Khinchin type formula of the survival
probability for a spectrally negative L\'evy process.