General drawdown-based exit identities for Lévy processes observed at poisson arrival time
Abstract
Abstract This paper derives explicit expressions for drawdown-based two-sided exit identities involving the overshoots and undershoots at the exit times under Poisson observation times for spectrally negative Lévy risk processes by using fluctuation theory. All resulting Laplace transforms of the risk quantities of interest are expressed in terms of the scale functions of the spectrally negative Lévy processes.
Fields of Study & Subjects
Probability and Risk Models
Stochastic processes and financial applications
Probability and Statistical Research
Publication details
- Journal / source
- Advances in Applied Probability
- Pages
- 1–52
- Publication date
- 17 February 2026
- Language
- EN