Ruin time and aggregate claim amount up to ruin time for the perturbed risk process

DOI10.1080/03461238.2011.592262zbMath1287.91095MaRDI QIDQ2868605

Cary Chi-Liang Tsai, Landy Rabehasaina

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.592262

zbMATH Keywords

Laplace transform; first passage time; deficit at ruin; perturbed classical risk model; Sparre Andersen risk process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

60K05: Renewal theory

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Cites Work

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