A note on scale functions and the time value of ruin for Lévy insurance risk processes

Enrico Biffis and Andreas E. Kyprianou

Insurance: Mathematics and Economics, 2010, vol. 46, issue 1, 85-91

Abstract: We examine discounted penalties at ruin for surplus dynamics driven by a general spectrally negative Lévy 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.

Keywords: Scale; functions; Ruin; Spectrally; negative; Levy; processes; Gerber-Shiu; function; Laplace; transform (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:46:y:2010:i:1:p:85-91

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