First crossing time, overshoot and Appell-Hessenberg type functions

DOI10.1080/17442508.2016.1230613zbMATH Open1352.60069OpenAlexW2536713004MaRDI QIDQ2833723FDOQ2833723

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

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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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• Appell pseudopolynomials and Erlang-type risk models
• Fraud risk assessment within blockchain transactions
• Two-sided exit problems in the ordered risk model

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