Abstract
ABSTRACTIn 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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
