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

DOI10.1080/03610918.2018.1524906MaRDI QIDQ5083889zbMATH OpenOpenAlexWikidataFDO

Authors Zhongqin Gao, Jing-Min He, Bingbing Wang

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

confluent hypergeometric functionsexit timesmartingaleoperatorsstrong Markov property

Mathematics Subject Classification ID

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

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Cites work

• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• FIRST-EXIT TIMES FOR POISSON SHOT NOISE
• How long is the surplus below zero?
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1269547 (Why is no real title available?)
• 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
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• The first exit time and ruin time for a risk process with reserve-dependent income.
• When does the surplus reach a given target?

Cited in

(2)

• scientific article; zbMATH DE number 1883578 (Why is no real title available?)
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST

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