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

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  • David Landriault
  • Gordon E. Willmot

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.

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  • David Landriault & Gordon E. Willmot, 2020. "On series expansions for scale functions and other ruin-related quantities," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(4), pages 292-306, April.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:4:p:292-306
    DOI: 10.1080/03461238.2019.1663444
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    Cited by:

    1. Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).

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