On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model (Q6121111)
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scientific article; zbMATH DE number 7809283
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| English | On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model |
scientific article; zbMATH DE number 7809283 |
Statements
On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model (English)
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26 February 2024
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renewal risk model
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ruin probability
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two-sided first exit time
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number of claims to ruin
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overshoot and undershoot
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exponentially tilted probability measure
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jump diffusion process
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mixed Erlang distribution
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0.8668305277824402
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0.811168909072876
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0.7956448793411255
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0.7898444533348083
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