Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin I
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Publication:4320756
DOI10.1137/S0036139993250579zbMath0811.60088MaRDI QIDQ4320756
Craig Steven Peters, Charles Knessl
Publication date: 19 April 1995
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
asymptoticsPoisson processrisk theorycollective ruinintegrodifferential backward Kolmogorov equationtime-dependent problem of collective ruin
Singular perturbations, turning point theory, WKB methods for ordinary differential equations (34E20) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (3)
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ Approximate techniques to solve the partial integro-differential equation arising in operational risk: Adomian decomposition method ⋮ On a gamma series expansion for the time-dependent probability of collective ruin
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