Abstract The Gerber-Shiu function provides a unified framework for the evaluation of a
variety of risk quantities. Ever since its establishment, it has attracted constantly increasing …

In this paper, we obtain analytical expression for the distribution of the occupation time in the
red (below level 0) up to an (independent) exponential horizon for spectrally negative Lévy …

In this paper, we study the law of the local time processes (LT x (X), x∈ R) associated to a
spectrally negative Lévy process X, in the cases T= τ a+, the first passage time of X above a> …

Time-changed spectrally positive Levy processes started from infinity Page 1 Bernoulli 27(2), 2021,
1291–1318 https://doi.org/10.3150/20-BEJ1274 Time-changed spectrally positive Lévy processes …

In the last years there appeared a great variety of identities for first passage problems of
spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic …

First passage problems for spectrally negative Lévy processes with possible absorbtion
or/and reflection at boundaries have been widely applied in mathematical finance, risk …

The scale functions were defined for spectrally negative L\'evy processes and other strong
Markov processes with no positive jumps, and have been used to characterize their …

In this paper, we consider a class of generalized continuous-state branching processes
obtained by Lamperti type time changes of spectrally positive Lévy processes using different …

For refracted spectrally negative Lévy processes, we identify expressions for several
quantities related to the Laplace transforms of their weighted occupation times until first exit …

For spectrally negative Lévy processes, adapting an approach from Li and Palmowski
(Stoch. Process. Appl. 128 (10), 3273–3299 2018) we identify joint Laplace transforms …