On the occupation times in a delayed Sparre Andersen risk model with exponential claims

DOI10.1016/j.insmatheco.2016.10.001zbMath1371.91094MaRDI QIDQ2374123

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/118606

zbMATH Keywords

Laplace transform; scale function; transformation method; spectrally negative Lévy process; Sparre Andersen risk model; constant dividend barrier; dividend paying duration; non-dividend paying duration

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

Risk- and value-based management for non-life insurers under solvency constraints

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