Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest

DOI10.1080/03610918.2018.1524906zbMath1489.62328OpenAlexW2905902703WikidataQ128778159 ScholiaQ128778159MaRDI QIDQ5083889

Zhongqin Gao, Bingbing Wang, Jing-Min He

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1524906

zbMATH Keywords

operatorsmartingalestrong Markov propertyexit timesconfluent hypergeometric functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on general state spaces (60J25) Risk models (general) (91B05)

Cites Work

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• When does the surplus reach a given target?
• The first exit time and ruin time for a risk process with reserve-dependent income.
• How long is the surplus below zero?
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• FIRST-EXIT TIMES FOR POISSON SHOT NOISE
• On hitting times for compound Poisson dams with exponential jumps and linear release rate
• On occupation times for a risk process with reserve-dependent premium
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

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