Duality in ruin problems for ordered risk models
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Publication:1697212
DOI10.1016/j.insmatheco.2017.11.005zbMath1398.91329OpenAlexW2557249787MaRDI QIDQ1697212
Pierre-Olivier Goffard, Claude Lefèvre
Publication date: 15 February 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.005
order statistic propertyruin problemsAppell and Abel-Gontcharov polynomialslevel spacingsprimal and dual risk models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Special polynomials in general fields (12E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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