The hitting time for a Cox risk process

DOI10.1016/J.CAM.2012.01.010zbMATH Open1235.91110OpenAlexW1996949701MaRDI QIDQ408212FDOQ408212

Authors: Rong Wu, Wei Wang 

Publication date: 29 March 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.010

Recommendations

• Finite-time Lundberg inequalities in the Cox case
• Analysis of ruin measures in a class of risk models
• Exponential inequalities for ruin probabilities in the Cox case
• scientific article; zbMATH DE number 5012294
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate

zbMATH Keywords

Cox processclassical risk processthe hitting timethe last exit time

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cites Work

• Title not available (Why is that?)
• On the Time Value of Ruin
• Aspects of risk theory
• Risk theory in a Markovian environment
• Title not available (Why is that?)
• Joint distributions of some actuarial random vectors containing the time of ruin
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Title not available (Why is that?)
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• Probability of ruin with variable premium rate in a Markovian environment

Cited In (1)

• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

This page was built for publication: The hitting time for a Cox risk process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q408212)