Escape probabilities from an interval for compound Poisson processes with drift

DOI10.1007/978-3-031-04137-2_10MaRDI QIDQ2087071zbMATH OpenOpenAlexFDO

Authors Javier Villarroel, Juan Antonio Vega

Publication date 26 October 2022

Full work available at URL https://doi.org/10.1007/978-3-031-04137-2_10

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Jump processes on general state spaces (60J76)

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Cites work

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• The Time Value of Ruin in a Sparre Andersen Model
• The two-sided exit problem for spectrally positive Lévy processes
• When does surplus reach a certain level before ruin?

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