TY - JOUR
T1 - A note on scale functions and the time value of ruin for Levy insurance risk processes
AU - Biffis, E
AU - Kyprianou, A E
PY - 2010/2
Y1 - 2010/2
N2 - We examine discounted penalties at ruin for Surplus dynamics driven by a general spectrally negative Levy process; the natural class of stochastic processes which contains many examples of risk processes which have already been considered in the existing literature. Following from the important contributions of [Zhou, X., 2005. On a classical risk model with a constant dividend barrier. North Am. Act. J. 95-108] we provide an explicit characterization of a generalized version of the Gerber-Shiu function in terms of scale functions, streamlining and extending results available in the literature.
AB - We examine discounted penalties at ruin for Surplus dynamics driven by a general spectrally negative Levy process; the natural class of stochastic processes which contains many examples of risk processes which have already been considered in the existing literature. Following from the important contributions of [Zhou, X., 2005. On a classical risk model with a constant dividend barrier. North Am. Act. J. 95-108] we provide an explicit characterization of a generalized version of the Gerber-Shiu function in terms of scale functions, streamlining and extending results available in the literature.
UR - http://www.scopus.com/inward/record.url?scp=74249106344&partnerID=8YFLogxK
UR - http://dx.doi.org/10.1016/j.insmatheco.2009.04.005
U2 - 10.1016/j.insmatheco.2009.04.005
DO - 10.1016/j.insmatheco.2009.04.005
M3 - Article
SN - 0167-6687
VL - 46
SP - 85
EP - 91
JO - Insurance, Mathematics and Economics
JF - Insurance, Mathematics and Economics
IS - 1
ER -