Some characteristics of a surplus process in the presence of an upper barrier.

DOI10.1016/S0167-6687(02)00105-1zbMath1055.91058MaRDI QIDQ1413315

Konstadinos Politis, Nan Wang

Publication date: 16 November 2003

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

zbMATH Keywords

Random walksOvershootClassical risk modelFirst passage timesLadder heightsStopping times

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier ⋮ An optimization of a continuous time risk process ⋮ When does surplus reach a certain level before ruin? ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model? ⋮ Optimal control of the surplus in an insurance policy ⋮ On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ The win-first probability under interest force

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• When does the surplus reach a given target?
• A renewal theorem for curved boundaries and moments of first passage times
• On some measures of the severity of ruin in the classical Poisson model
• On the first crossing of the surplus process with a given upper barrier
• On the moments and limit distributions of some first passage times
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Approximations to ruin probability in the presence of an upper absorbing barrier

This page was built for publication: Some characteristics of a surplus process in the presence of an upper barrier.