On occupation times for a risk process with reserve-dependent premium
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Publication:3147437
DOI10.1081/STM-120004466zbMath1019.91027MaRDI QIDQ3147437
Publication date: 12 November 2002
Published in: Stochastic Models (Search for Journal in Brave)
ruinLaplace transformoccupation timepiecewise deterministic Markov processrisk reserve processnegative surplusexponential claim
Continuous-time Markov processes on general state spaces (60J25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items
Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest ⋮ Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ Total duration of negative surplus for an MAP risk model ⋮ Total Duration of Negative Surplus for the Risk Process with Constant Interest Force ⋮ Total duration of negative surplus for the risk model with debit interest ⋮ Occupation measure and local time of classical risk processes
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