Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier

DOI10.1007/s11009-015-9459-2zbMath1360.60159OpenAlexW1820156491MaRDI QIDQ518857

Michael V. Boutsikas, Konstadinos Politis

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9459-2

zbMATH Keywords

ruin probabilityovershootexit timesundershootrenewal modelbarrier problemsmixed Erlang classSparre-Andersen model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (2)

On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures ⋮ On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model

Cites Work

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• On some measures of the severity of ruin in the classical Poisson model
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• Compound geometric residual lifetime distributions and the deficit at ruin.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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• When does surplus reach a certain level before ruin?
• Introductory lectures on fluctuations of Lévy processes with applications.
• When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
• Exit times for a class of random walks exact distribution results
• Approximations to ruin probability in the presence of an upper absorbing barrier
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• On the Waiting Time in the Queuing System GI/G/1
• On the Time Value of Ruin
• On a Class of Renewal Risk Processes

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