Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models

MaRDI QIDQ3071840zbMATH OpenFDO

Authors Jiguo Dong, Guoxin Liu

Publication date 5 February 2011

zbMATH Keywords

piecewise-deterministic Markov processessupplementary variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

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