Some results for the compound Poisson process that is perturbed by diffusion (Q1611092): Difference between revisions
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Revision as of 00:12, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some results for the compound Poisson process that is perturbed by diffusion |
scientific article |
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Some results for the compound Poisson process that is perturbed by diffusion (English)
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6 February 2003
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The surplus processes perturbed by diffusion are considered. The subject of the distributions of the surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscillation and ruin caused by a claim are studied. Some joint distribution densities are obtained by using the techniques from martingale theory and renewal theory.
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compound Poisson process
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diffusion
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ruin probabilities
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oscillation
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claim
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surplus
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joint distribution
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