Crossing time of annuities with exponential payment rates

MaRDI QIDQ2801428zbMATH OpenFDO

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

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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