Refined distributions for a multi-risk stochastic process

DOI10.1080/03461238.1977.10405638zbMATH Open0373.62061OpenAlexW2041938881MaRDI QIDQ4151053FDOQ4151053

Authors: John A. Beekman, Clinton P. Fuelling 

Publication date: 1977

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1977.10405638

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical distribution theory (62E99) Special processes (60K99)

Cites Work

• First passage time and extremum properties of Markov and independent processes
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
• Evaluations of barrier-crossing probabilities of Wiener paths
• Asymptotic distributions for the Ornstein-Uhlenbeck process
• Title not available (Why is that?)

Cited In (4)

• Weak convergence of random growth processes with applications to insurance
• A stochastic model of computer use
• Compound poisson processes, as modified by Ornstein-Uhlenbeck processes, Part II
• Interest and mortality randomness in some annuities

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