On the occupation times in a delayed Sparre Andersen risk model with exponential claims
From MaRDI portal
Publication:2374123
DOI10.1016/j.insmatheco.2016.10.001zbMath1371.91094MaRDI QIDQ2374123
Xueyuan Wu, Can Jin, Shuanming Li
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/118606
Laplace transform; scale function; transformation method; spectrally negative Lévy process; Sparre Andersen risk model; constant dividend barrier; dividend paying duration; non-dividend paying duration
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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Risk- and value-based management for non-life insurers under solvency constraints, \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
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