The first passage event for sums of dependent Lévy processes with applications to insurance risk
نویسندگان
چکیده
منابع مشابه
The First Passage Event for Sums of Dependent Lévy Processes with Applications to Insurance Risk by Irmingard
For the sum process X =X1 +X2 of a bivariate Lévy process (X1,X2) with possibly dependent components, we derive a quintuple law describing the first upwards passage event of X over a fixed barrier, caused by a jump, by the joint distribution of five quantities: the time relative to the time of the previous maximum, the time of the previous maximum, the overshoot, the undershoot and the undersho...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2009
ISSN: 1050-5164
DOI: 10.1214/09-aap601