L. Alili, P. Patie, and J. L. Pedersen, Representations of the first passage time density of an Ornstein?Uhlenbeck process, Stochastic Models, pp.967-980, 2005.

V. Bernyk, R. C. Dalang, and G. Peskir, The law of the supremum of a stable L??vy process with no negative jumps, The Annals of Probability, vol.36, issue.5, pp.1777-1789, 2008.
DOI : 10.1214/07-AOP376

C. Blanchet, ProcessusàProcessusà sauts et risque de défaut, 2001.

A. Borodin and P. Salminen, Handbook of Brownian Motion. Facts and Formulae, 1996.

A. A. Borokov, On the First Passage Time for One Class of Processes with Independent Increments, Theory of Probability & Its Applications, vol.10, issue.2, pp.331-334, 1964.
DOI : 10.1137/1110038

R. Cont and P. Tankov, Financial Modelling with Jump Processes, Boca Raton, vol.2, 2004.
DOI : 10.1201/9780203485217
URL : https://hal.archives-ouvertes.fr/hal-00002693

R. A. Doney, Passage probabilities for spectrally positive Lévy processes, J. London Math. Soc, vol.44, issue.2, pp.556-576, 1991.
DOI : 10.1112/jlms/s2-44.3.566
URL : http://jlms.oxfordjournals.org/cgi/content/short/s2-44/3/566

R. A. Doney and A. E. Kyprianou, Overshoots and undershoots of L??vy processes, The Annals of Applied Probability, vol.16, issue.1, pp.91-106, 2005.
DOI : 10.1214/105051605000000647

M. Dozzi and P. Vallois, Level crossing times for certain processes without positive jumps, Bull. Sci. Math, vol.121, pp.355-376, 1997.

I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, p.1121940, 1991.
DOI : 10.1007/978-1-4612-0949-2

S. G. Kou and H. Wang, First passage times of a jump diffusion process, Advances in Applied Probability, vol.15, issue.02, pp.504-531, 2003.
DOI : 10.1287/mnsc.48.8.1086.166

B. Leblanc, Modélisation de la volatilité d'un actif financier et applications, 1997.

C. Lefèvre and S. Loisel, On finite-time ruin probabilities for classical risk models, Scandinavian Actuarial Journal, vol.7, issue.1, pp.41-60, 2008.
DOI : 10.1016/j.jspi.2003.05.003

C. Lefèvre and S. Loisel, Finite-time horizon ruin probabilities for independent or dependent claim amounts, 2008.

P. Lévy, Processus stochastiques et mouvement brownien, 1948.

G. Peskir, The law of the passage times to points by a stable Lévy process with no-negative jumps, Research Report No, vol.15, 2007.

P. Picard and C. Lefèvre, The probability of ruin in finite time with discrete claim size distribution, Scandinavian Actuarial Journal, vol.1, issue.1, pp.58-69, 1997.
DOI : 10.1214/aoms/1177705056

P. Picard and C. Lefèvre, The moments of ruin time in the classical risk model with discrete claim size distribution, Insurance: Mathematics and Economics, vol.23, issue.2, pp.157-172, 1998.
DOI : 10.1016/S0167-6687(98)00025-0

B. Roynette, P. Vallois, and A. Volpi, Asymptotic behavior of the hitting time, overshoot and undershoot for some L??vy processes, ESAIM: Probability and Statistics, vol.12, pp.58-93, 2008.
DOI : 10.1051/ps:2007034

K. I. Sato, Lévy Processes and Infinitely Divisible Distributions, 1999.