Number of jumps in two-sided first-exit problems for a compound Poisson process

DOI10.1007/s11009-015-9453-8zbMath1349.91146OpenAlexW778803061MaRDI QIDQ340120

Can Jin, Yi Lu, Shuanming Li

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9453-8

zbMATH Keywords

classical risk modeldoubly-killed scale functionnumber of claimstwo-sided first-exit timetwo-sided smooth exit-recovery time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

A note on ruin problems in perturbed classical risk models ⋮ Distributional study of finite-time ruin related problems for the classical risk model

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