The hitting time for a Cox risk process

DOI10.1016/J.CAM.2012.01.010MaRDI QIDQ408212zbMATH OpenOpenAlexFDO

Authors Rong Wu, Wei Wang

Publication date 29 March 2012

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2012.01.010

zbMATH Keywords

Cox processclassical risk processthe hitting timethe last exit time

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Recommendations

• Finite-time Lundberg inequalities in the Cox case
• Analysis of ruin measures in a class of risk models
• Exponential inequalities for ruin probabilities in the Cox case
• scientific article; zbMATH DE number 5012294
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate

Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 482636 (Why is no real title available?)
• scientific article; zbMATH DE number 3050474 (Why is no real title available?)
• Aspects of risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Joint distributions of some actuarial random vectors containing the time of ruin
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• On the Time Value of Ruin
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Probability of ruin with variable premium rate in a Markovian environment
• Risk theory in a Markovian environment

Cited in

(1)

• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

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