A system of integro-differential-difference equations in risk theory, using compound birth-death processes

DOI10.1080/03461238.1985.10413777zbMath0583.62090OpenAlexW1998521796MaRDI QIDQ3706384

Colin M. Ramsay

Publication date: 1985

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1985.10413777

zbMATH Keywords

existence of solutionsbirth-death processintegro-differential-difference equationsChapman- Kolmogorov backward equationsinforce processprobability of non-ruin in a finite time interval

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of branching processes (60J85) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) General theory of topological algebras with involution (46K05)

Related Items (1)

Ruin probabilities and the compound Poisson-Markov chain

Cites Work

• Integral Functionals of Birth and Death Processes and Related Limiting Distributions
• A Combinatorial Method in the Theory of Queues
• Spectral theory for the differential equations of simple birth and death processes
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