Occupation measure and local time of classical risk processes

DOI10.1016/J.INSMATHECO.2005.05.011zbMATH Open1129.91026OpenAlexW2001248696MaRDI QIDQ817294FDOQ817294

Authors: José Villa Morales, Ekaterina Todorova Kolkovska, José Alfredo López-Mimbela 

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.011

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zbMATH Keywords

occupation timelocal timeclassical risk processnegative surplusrecovery costs

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Cites Work

• Title not available (Why is that?)
• Aspects of risk theory
• How long is the surplus below zero?
• When does the surplus reach a given target?
• Title not available (Why is that?)
• Recursive calculation of finite-time ruin probabilities
• Martingales and insurance risk
• On some measures of the severity of ruin in the classical Poisson model
• On occupation times for a risk process with reserve-dependent premium
• On the distribution of the duration of negative surplus
• Title not available (Why is that?)

Cited In (9)

• An occupation time related potential measure for diffusion processes
• Occupation times in the MAP risk model
• The local time of the classical risk process
• Total duration of negative surplus for the risk model with debit interest
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
• On the distributions of the sup and inf of the classical risk process with exponential claim
• Total duration of negative surplus for a Brownian motion risk model with interest
• On occupation times for a risk process with reserve-dependent premium
• Occupation measure functionals in merging phase space

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