Distribution of deficit at ruin for a PDMP insurance risk model (Q1432871): Difference between revisions
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Property / author: Guo-jing Wang / rank | |||
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Property / author: Guo-jing Wang / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL: https://doi.org/10.1007/s10255-003-0129-8 / rank | |||
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Property / OpenAlex ID: W2007053434 / rank | |||
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Property / cites work: Martingales and insurance risk / rank | |||
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Property / cites work: Q3136505 / rank | |||
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Property / cites work: Q3215519 / rank | |||
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Property / cites work: Q4230625 / rank | |||
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Property / cites work: Q3259158 / rank | |||
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Property / cites work: Ruin theory for the risk process described by PDMPs / rank | |||
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Latest revision as of 18:10, 6 June 2024
scientific article
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English | Distribution of deficit at ruin for a PDMP insurance risk model |
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Distribution of deficit at ruin for a PDMP insurance risk model (English)
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22 June 2004
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The authors derive an integro differential equation for the distribution of the deficit at ruin for the risk process described by a piecewise deterministic Markov process. For some choices of the claim amount distribution explicit expressions are obtained this way.
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