Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
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Publication:429991
DOI10.1007/s11009-010-9185-8zbMath1242.91090MaRDI QIDQ429991
Konstadinos Politis, Vaios Dermitzakis
Publication date: 20 June 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-010-9185-8
subexponential distributions; time of ruin; probability of ruin; compound Poisson model with diffusion; moments of the time to ruin
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Cites Work
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