A note on ruin problems in perturbed classical risk models
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Publication:342741
DOI10.1016/j.spl.2016.09.013zbMath1463.91033arXiv1608.05514WikidataQ61308213 ScholiaQ61308213MaRDI QIDQ342741
Lanpeng Ji, Peng Liu, Chun-sheng Zhang
Publication date: 18 November 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.05514
martingale; time to ruin; joint density; number of claims until ruin; perturbed classical risk model; the Lundberg fundamental equation
60K10: Applications of renewal theory (reliability, demand theory, etc.)
91B05: Risk models (general)
Related Items
The expected discounted penalty function: from infinite time to finite time, On the distribution of classic and some exotic ruin times
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