The time to ruin for a class of Markov additive risk process with two-sided jumps

DOI10.1239/aap/1134587749zbMath1100.60021OpenAlexW2062126404MaRDI QIDQ5475377

Martin Jacobsen

Publication date: 19 June 2006

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

Full work available at URL: https://doi.org/10.1239/aap/1134587749

zbMATH Keywords

Markov processmartingaleadditive processtime to ruinrisk modelundershootprobability of ruinoptional sampling

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Markov renewal processes, semi-Markov processes (60K15)

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