A Direct Approach to a First-Passage Problem with Applications in Risk Theory

DOI10.1080/15326349.2011.593402zbMath1232.91350OpenAlexW2027190358MaRDI QIDQ3094228

Kristina P. Sendova, David Landriault

Publication date: 21 October 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.593402

zbMATH Keywords

Laplace transformrisk managementfirst-passage timeruin problemdual ruin model

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items

On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model, Duality in ruin problems for ordered risk models, The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier, The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model, The ruin time under the Sparre Andersen dual model, On the Parisian ruin of the dual Lévy risk model, Parisian ruin with a threshold dividend strategy under the dual Lévy risk model

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