Fluctuations of an omega-type killed process in discrete time

DOI10.15559/24-VMSTA257MaRDI QIDQ6624012FDOQ6624012

Authors: Meral Şimşek, Lewis Ramsden, Apostolos D. Papaioannou 

Publication date: 24 October 2024

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

random walksfluctuation theorybankruptcyexit problemspotential measures

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Sums of independent random variables; random walks (60G50)

Cites Work

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• Fluctuations of Lévy processes with applications. Introductory lectures
• Basic analytic combinatorics of directed lattice paths
• The theory of scale functions for spectrally negative Lévy processes
• Discounted probabilities and ruin theory in the compound binomial model
• Ruin probabilities in the compound binomial model
• Mathematical fun with ruin theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• An elementary approach to discrete models of dividend strategies
• Exit times for a class of random walks exact distribution results
• The Omega model: from bankruptcy to occupation times in the red
• Fluctuations of Omega-killed spectrally negative Lévy processes
• SOME RESULTS FOR SKIP-FREE RANDOM WALK
• Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• A combinatorial approach to the two-sided exit problem for left-continuous random walks
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance

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