Cramér-Lundberg model for some classes of extremal Markov sequences
DOI10.1007/s10986-023-09602-2zbMath1527.91141arXiv1901.05701OpenAlexW4386095803MaRDI QIDQ6054049
Barbara H. Jasiulis-Gołdyn, Alicja Lechańska, Jolanta K. Misiewicz
Publication date: 24 October 2023
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.05701
Markov chainruin probabilitygeneralized convolutionCramér-Lundberg modelfirst safety condition for the insurance company
Extreme value theory; extremal stochastic processes (60G70) Convolution as an integral transform (44A35) Sums of independent random variables; random walks (60G50) Actuarial mathematics (91G05)
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