澳门蒲京娱乐场

科学研究
报告题目:

A draw-down reflected spectrally negative Lévy process

报告人:

王文元 副教授(厦门大学)

报告时间:

报告地点:

理学院东北楼四楼报告厅(404)

报告摘要:

In this talk we study a spectrally negative Lévy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we find the Laplace transform of the upper exiting time and an expression of the associated potential measure. When the reflected process is identified as a risk process with capital injections, the expected total amount of discounted capital injections prior to the exiting time and the Laplace transform of the accumulated capital injections until the exiting time are also obtained. The results are expressed in terms of scale functions for spectrally negative Lévy processes. (Joint work with Prof. Xiaowen Zhou @ Concordia University)