Duality in ruin problems for ordered risk models

DOI10.1016/j.insmatheco.2017.11.005zbMath1398.91329OpenAlexW2557249787MaRDI QIDQ1697212

Pierre-Olivier Goffard, Claude Lefèvre

Publication date: 15 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.005

zbMATH Keywords

order statistic propertyruin problemsAppell and Abel-Gontcharov polynomialslevel spacingsprimal and dual risk models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Special polynomials in general fields (12E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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