First crossing time, overshoot and Appell-Hessenberg type functions

DOI10.1080/17442508.2016.1230613MaRDI QIDQ2833723zbMATH OpenOpenAlexFDO

Authors Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2016.1230613

zbMATH Keywords

point processruin probabilityovershootAppell polynomialsinsurance risk modelfirst-crossing time

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Special processes (60K99)

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