On the first crossing of the surplus process with a given upper barrier

DOI10.1016/0167-6687(94)00010-7MaRDI QIDQ1333591zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

compound Poissonhomogeneous Poisson processfirst passage timerisk processAbel-Gontcharoff polynomialssurplus processcollective risk theoryfirst crossingtotal claims amountupper barrier for the reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3409479 (Why is no real title available?)
• scientific article; zbMATH DE number 3028600 (Why is no real title available?)
• 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
• Martingales in Markov processes applied to risk theory
• Mathematical fun with ruin theory
• On hitting times for jump-diffusion processes with past dependent local characteristics
• The statistical theory of the strength of bundles of threads. I
• When does the surplus reach a given target?

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
• scientific article; zbMATH DE number 2147965 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 5649050 (Why is no real title available?)
• The probability of ruin in finite time with discrete claim size distribution

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