Article ID Journal Published Year Pages File Type
1155822 Stochastic Processes and their Applications 2011 13 Pages PDF
Abstract

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
, , ,