CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2009, 25(4) 337-344 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
L\'evy process
ruin probability
survival probability
martingale
hitting time.
Authors
Zhao Yongxia
Yin Chuancun
PubMed
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A Generalization of the Classical Risk Model

Zhao Yongxia,Yin Chuancun

Department of Mathematics, Qufu Normal University

Abstract��

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.

Keywords�� L\'evy process   ruin probability   survival probability   martingale   hitting time.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Zhao Yongxia
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