On the first crossing of the surplus process with a given upper barrier
DOI10.1016/0167-6687(94)00010-7zbMATH Open0806.62089OpenAlexW2070510148MaRDI QIDQ1333591FDOQ1333591
Authors: 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
Recommendations
compound Poissonhomogeneous Poisson processfirst passage timerisk processAbel-Gontcharoff polynomialssurplus processcollective risk theoryfirst crossingtotal claims amountupper barrier for the reserve
Cites Work
- The statistical theory of the strength of bundles of threads. I
- A non-standard family of polynomials and the final size distribution of Reed-Frost epidemic processes
- When does the surplus reach a given target?
- Absorption and first-passage times for a compound Poisson process in a general upper boundary
- Title not available (Why is that?)
- Mathematical fun with ruin theory
- Title not available (Why is that?)
- On hitting times for jump-diffusion processes with past dependent local characteristics
- Martingales in Markov processes applied to risk theory
Cited In (17)
- Some characteristics of a surplus process in the presence of an upper barrier.
- Level-crossing properties of the risk process
- First-exit times for compound poisson processes for some types of positive and negative jumps
- Some first passage time problems with restricted reserve and two components of income
- Title not available (Why is that?)
- Passage times for a spectrally negative Lévy process with applications to risk theory
- When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
- The moments of ruin time in the classical risk model with discrete claim size distribution
- Delta operators, power series distributions and recursions for compound sums
- ON THE UPPER FIRST-EXIT TIMES OF COMPOUND G/M PROCESSES
- On the Probability of (Non-) Ruin in Infinite Time
- Two-sided exit problems in the ordered risk model
- A two-sided first-exit problem for a compound Poisson process with a random upper boundary
- Polynomial structures in order statistics distributions
- Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
- Title not available (Why is that?)
- The probability of ruin in finite time with discrete claim size distribution
This page was built for publication: On the first crossing of the surplus process with a given upper barrier
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1333591)
