On series expansions for scale functions and other ruin-related quantities

David Landriault and Gordon E. Willmot

Scandinavian Actuarial Journal, 2020, vol. 2020, issue 4, 292-306

Abstract: In this note, we consider a nonstandard analytic approach to the examination of scale functions in some special cases of spectrally negative Lévy processes. In particular, we consider the compound Poisson risk process with or without perturbation from an independent Brownian motion. New explicit expressions for the first and second scale functions are derived which complement existing results in the literature. We specifically consider cases where the claim size distribution is gamma, uniform or inverse Gaussian. Some ruin-related quantities will also be re-examined in light of the aforementioned results.

Date: 2020
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DOI: 10.1080/03461238.2019.1663444

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