Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
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Publication:2868605
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
Laplace transform; first passage time; deficit at ruin; perturbed classical risk model; Sparre Andersen risk process
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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