Escape probabilities of compound renewal processes with drift

arXiv1907.11894MaRDI QIDQ6322774FDOQ6322774

Authors: Javier Villarroel, Juan Antonio Vega, Miquel Montero 

Publication date: 27 July 2019

Abstract: We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only negative jumps arise we give a general solution for escape and survival probabilities under Erlang$(n)$ and hypo-exponential arrivals. These ideas are generalized to the class of arrival distributions having rational Laplace transforms. In a general situation with two-sided jumps we also identify important families of solvable cases. A parallelism with the "scale function" of diffusion processes is drawn.

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

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