On occupation times in the red of L\'evy risk models

23 Jul 2019 Landriault David Li Bin Lkabous Mohamed Amine

In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level $0$) up to an (independent) exponential horizon for spectrally negative L\'{e}vy risk processes and refracted spectrally negative L\'{e}vy risk processes. This result improves the existing literature in which only the Laplace transforms are known... (read more)

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