The first exit time and ruin time for a risk process with reserve-dependent income.

DOI10.1016/S0167-7152(02)00311-5zbMath1046.91071MaRDI QIDQ1871355

Yanyan Li

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Ruin probabilityEmbrechts-Schmidli modelFirst exit timeRisk reserve processRuin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Laplace transform (44A10)

Related Items

Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest, “On a Classical Risk Model with a Constant Dividend Barrier”, Xiaowen Zhou, October 2005

Cites Work

• Forced Nonlinear Evolution Equations and the Inverse Scattering Transform
• Martingales and insurance risk
• Ruin estimation for a general insurance risk model
• Unnamed Item
• Unnamed Item
• Unnamed Item