A martingale approach to a ruin model with surplus following a compound Pisson process
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Publication:2479680
zbMath1132.91018MaRDI QIDQ2479680
Eui Yong Lee, Soo-Mi Oh, Mi Ock Jeong
Publication date: 1 April 2008
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
compound Poisson process; surplus process; optional sampling theorem; backward differential equation
60H30: Applications of stochastic analysis (to PDEs, etc.)
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