The Time to Ruin in Some Additive Risk Models with Random Premium Rates

DOI10.1239/jap/1354716648zbMath1264.60067OpenAlexW1996951286MaRDI QIDQ4903033

Martin Jacobsen

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716648

zbMATH Keywords

martingaletime to ruinRouche's theoremdeficit at ruinoptional samplingpartial eigenfunctionCramér-Lundberg equation

Mathematics Subject Classification ID

Related Items (1)

On a discrete Markov-modulated risk model with random premium income and delayed claims

Cites Work

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• Stochastic differential equations for ruin probabilities
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Probability of ruin with variable premium rate in a Markovian environment

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