Ruin probabilities for risk models with ordered claim arrivals
DOI10.1007/s11009-013-9334-yzbMath1307.91098OpenAlexW1981112092MaRDI QIDQ2513660
Philippe Picard, Claude Lefèvre
Publication date: 28 January 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-013-9334-y
order statisticsruin probabilityAppell polynomialslinear birth process with immigrationlinear death processfinite or infinite horizon(mixed) Poisson process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Stopping times; optimal stopping problems; gambling theory (60G40) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Special polynomials in general fields (12E10)
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