FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES

DOI10.1017/asb.2013.4zbMath1283.91084OpenAlexW2324802118MaRDI QIDQ5398350

Volkmar Lautscham, Hansjoerg Albrecher

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/302875/files/S0515036113000044.pdf

zbMATH Keywords

ruin probabilityclassical risk processdiscounted penalty functionOmega modelbankruptcy rate function

Mathematics Subject Classification ID

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Cites Work

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• The optimal dividend barrier in the gamma-omega model
• Occupation times of spectrally negative Lévy processes with applications
• Martingales and insurance risk

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