Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin I
From MaRDI portal
Publication:4320756
DOI10.1137/S0036139993250579zbMath0811.60088MaRDI QIDQ4320756
Charles Knessl, Craig Steven Peters
Publication date: 19 April 1995
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
asymptotics; Poisson process; risk theory; collective ruin; integrodifferential backward Kolmogorov equation; time-dependent problem of collective ruin
34E20: Singular perturbations, turning point theory, WKB methods for ordinary differential equations
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Related Items
On a gamma series expansion for the time-dependent probability of collective ruin, Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results