On the first crossing of the surplus process with a given upper barrier
DOI10.1016/0167-6687(94)00010-7zbMath0806.62089OpenAlexW2070510148MaRDI QIDQ1333591
Philippe Picard, Claude Lefèvre
Publication date: 16 February 1995
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(94)00010-7
compound Poissonrisk processfirst passage timeAbel-Gontcharoff polynomialshomogeneous Poisson processsurplus processcollective risk theoryfirst crossingtotal claims amountupper barrier for the reserve
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Related Items (11)
Cites Work
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- On hitting times for jump-diffusion processes with past dependent local characteristics
- When does the surplus reach a given target?
- Martingales in Markov processes applied to risk theory
- Mathematical fun with ruin theory
- A non-standard family of polynomials and the final size distribution of Reed-Frost epidemic processes
- Absorption and first-passage times for a compound Poisson process in a general upper boundary
- The statistical theory of the strength of bundles of threads. I
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