First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
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Publication:4576858
DOI10.1080/03461238.2012.723043zbMath1401.91160OpenAlexW2114652057MaRDI QIDQ4576858
Tianxiang Shi, David Landriault
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2012.723043
first passage timefluid queuebarrier optiondual risk modelspectrally negative Lévy processLagrange's expansion theoremKendall's identitynumbers of jumps
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