ON THE CONVOLUTION OF INVERSE GAUSSIAN AND EXPONENTIAL RANDOM VARIABLES

DOI10.1081/STA-120017215zbMath1075.60560OpenAlexW2134754615MaRDI QIDQ4449087

Wolf Schwarz

Publication date: 4 February 2004

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120017215

zbMATH Keywords

ConvolutionExponential distributionWiener diffusion processInverse Gaussian distributionComplex error function

Mathematics Subject Classification ID

Diffusion processes (60J60) Distribution theory (60E99)

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Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ Locking the Wiener Process to its Level-Crossing Time

Cites Work

• The Wiener process between a reflecting and an absorbing barrier
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