Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin I

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)

zbMATH Keywords

asymptoticsPoisson processrisk theorycollective ruinintegrodifferential backward Kolmogorov equationtime-dependent problem of collective ruin

Mathematics Subject Classification ID

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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