Crossing time of annuities with exponential payment rates

zbMATH Open1333.91027MaRDI QIDQ2801428FDOQ2801428

H. U. Gerber, Hailiang Yang, E. S. W. Shiu

Publication date: 7 April 2016

Published in: Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL: https://www.e-periodica.ch/cntmng?pid=msa-003:2009:0::127

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (2)

• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

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