Occupation measure and local time of classical risk processes

DOI10.1016/J.INSMATHECO.2005.05.011zbMath1129.91026OpenAlexW2001248696MaRDI QIDQ817294

José Villa Morales, Ekaterina Todorova Kolkovska, Jose Alfredo Lopez 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

zbMATH Keywords

local timeoccupation timeclassical risk processnegative surplusrecovery costs

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Related Items (6)

An occupation time related potential measure for diffusion processes ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ Occupation times in the MAP risk model ⋮ Occupation measure functionals in merging phase space ⋮ Total Duration of Negative Surplus for the Risk Process with Constant Interest Force ⋮ Total duration of negative surplus for the risk model with debit interest

Cites Work

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• When does the surplus reach a given target?
• Recursive calculation of finite-time ruin probabilities
• Aspects of risk theory
• On some measures of the severity of ruin in the classical Poisson model
• How long is the surplus below zero?
• On occupation times for a risk process with reserve-dependent premium
• Martingales and insurance risk
• On the distribution of the duration of negative surplus

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