The Time to Ruin in Some Additive Risk Models with Random Premium Rates
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Publication:4903033
DOI10.1239/jap/1354716648zbMath1264.60067OpenAlexW1996951286MaRDI QIDQ4903033
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716648
martingaletime to ruinRouche's theoremdeficit at ruinoptional samplingpartial eigenfunctionCramér-Lundberg equation
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
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Cites Work
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