On occupation times for a risk process with reserve-dependent premium

DOI10.1081/STM-120004466zbMath1019.91027MaRDI QIDQ3147437

Chuan-Cun Yin, S. N. Chiu

Publication date: 12 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

ruin; Laplace transform; occupation time; piecewise deterministic Markov process; risk reserve process; negative surplus; exponential claim

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

Related Items

Total Duration of Negative Surplus for the Risk Process with Constant Interest Force, Occupation measure and local time of classical risk processes, Total duration of negative surplus for the risk model with debit interest

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