Some results for the compound Poisson process that is perturbed by diffusion (Q1611092): Difference between revisions
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| Property / cites work: On the distribution of the surplus prior to ruin / rank | |||
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| Property / cites work: The surpluses immediately before and at ruin, and the amount of the claim causing ruin / rank | |||
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| Property / cites work: Q3597841 / rank | |||
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Revision as of 14:06, 4 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some results for the compound Poisson process that is perturbed by diffusion |
scientific article |
Statements
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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