The hitting time for a Cox risk process

DOI10.1016/j.cam.2012.01.010zbMath1235.91110OpenAlexW1996949701MaRDI QIDQ408212

Rong Wu, Wei Wang

Publication date: 29 March 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.010

zbMATH Keywords

classical risk processCox processthe hitting timethe last exit time

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items

Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

Cites Work

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• Aspects of risk theory
• Joint distributions of some actuarial random vectors containing the time of ruin
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Risk theory in a Markovian environment
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• On the Time Value of Ruin
• Probability of ruin with variable premium rate in a Markovian environment

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