First crossing time, overshoot and Appell–Hessenberg type functions

DOI10.1080/17442508.2016.1230613zbMath1352.60069OpenAlexW2536713004MaRDI QIDQ2833723

Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1230613

zbMATH Keywords

point processruin probabilityAppell polynomialsovershootinsurance risk modelfirst-crossing time

Mathematics Subject Classification ID

Special processes (60K99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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