Wiener-Hopf factorization for Lévy processes having negative jumps with rational transforms

Authors: Alan Lewis and Ernesto Mordecki

Posted: 4/08/2005 (Final version). Status: Submitted

Abstract: We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant rate, with completely arbitrary positive distributed jumps, and finite intensity negative jumps with distribution characterized by having a rational Laplace or Fourier transform.

Keywords: Lévy process, Wiener-Hopf factorization, Baxter-Donsker formula, Ruin probability, Rational Laplace transform.

Download: pdf file (236 Kb), dvi file (72 Kb), ps file (404 Kb).

[Articles by Ernesto Mordecki]