Some results for the compound Poisson process that is perturbed by diffusion (Q1611092)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1784821
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Some results for the compound Poisson process that is perturbed by diffusion |
scientific article; zbMATH DE number 1784821 |
Statements
Some results for the compound Poisson process that is perturbed by diffusion (English)
0 references
6 February 2003
0 references
The surplus processes perturbed by diffusion are considered. The subject of the distributions of the surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscillation and ruin caused by a claim are studied. Some joint distribution densities are obtained by using the techniques from martingale theory and renewal theory.
0 references
compound Poisson process
0 references
diffusion
0 references
ruin probabilities
0 references
oscillation
0 references
claim
0 references
surplus
0 references
joint distribution
0 references
0 references
0.8799276351928711
0 references
0.8617148995399475
0 references
0.8579501509666443
0 references
0.857807457447052
0 references
0.8574094176292419
0 references
