Mihael Perman: Maxima of spectrally positive Levy processes

V četrtek, 17. decembra 2015, ob 14:15 bo v predavalnici 3.05 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje Mihaela Permana z naslovom  Maxima of spectrally positive Levy processes.

Abstract: For the classical Lundberg-Cramer process it is possible to express the distribution of the severity of ruin as an infinite series. The result is known as the Pollaczek-Hinčin formula. The result can be extended to a larger class of Levy processes using a decomposition at the last time the maximum of a spectrally positive Levy process is attained by a jump. A somewhat surprising result is that after such a time the contribution to the overall maximum is related to the distribution of the overshoot when the maximum is attained bz a jump.