Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions
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Publication:2644299
DOI10.1007/s11009-006-9014-2zbMath1122.60043MaRDI QIDQ2644299
Publication date: 10 September 2007
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-9014-2
order statistics; compound Poisson process; risk theory; recursive methods; first crossing time; generalized Appell polynomials; dam modelling; generalized Abel-Gontcharoff polynomials
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G40: Stopping times; optimal stopping problems; gambling theory
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