On the first crossing of the surplus process with a given upper barrier

DOI10.1016/0167-6687(94)00010-7zbMath0806.62089OpenAlexW2070510148MaRDI QIDQ1333591

Philippe Picard, Claude Lefèvre

Publication date: 16 February 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00010-7

zbMATH Keywords

compound Poissonrisk processfirst passage timeAbel-Gontcharoff polynomialshomogeneous Poisson processsurplus processcollective risk theoryfirst crossingtotal claims amountupper barrier for the reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (11)

The probability of ruin in finite time with discrete claim size distribution ⋮ First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ ON THE UPPER FIRST-EXIT TIMES OF COMPOUND G/M PROCESSES ⋮ Delta operators, power series distributions and recursions for compound sums ⋮ Some characteristics of a surplus process in the presence of an upper barrier. ⋮ A two-sided first-exit problem for a compound Poisson process with a random upper boundary ⋮ Two-sided exit problems in the ordered risk model ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model? ⋮ The moments of ruin time in the classical risk model with discrete claim size distribution ⋮ Passage times for a spectrally negative Lévy process with applications to risk theory ⋮ Polynomial structures in order statistics distributions

Cites Work

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• On hitting times for jump-diffusion processes with past dependent local characteristics
• When does the surplus reach a given target?
• Martingales in Markov processes applied to risk theory
• Mathematical fun with ruin theory
• A non-standard family of polynomials and the final size distribution of Reed-Frost epidemic processes
• Absorption and first-passage times for a compound Poisson process in a general upper boundary
• The statistical theory of the strength of bundles of threads. I

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