First-exit times for compound poisson processes for some types of positive and negative jumps
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Publication:4532400
DOI10.1081/STM-120002778zbMath0998.60089OpenAlexW2062873187MaRDI QIDQ4532400
Wolfgang Stadje, Shelemyahu Zacks, David Perry
Publication date: 25 November 2002
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/stm-120002778
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Storage Models for a Class of Master Equations with Separable Kernels ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ On the generalized telegraph process with deterministic jumps ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ On a dual model with barrier strategy ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ Exit problems for jump processes having double-sided jumps with rational Laplace transforms ⋮ On a class of stochastic models with two-sided jumps ⋮ First exit times for ordinary and compound Poisson processes with nonlinear boundaries ⋮ First exit times for compound Poisson dams with a general release rule ⋮ On the time to ruin and the deficit at ruin in a risk model with double-sided jumps ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries ⋮ Hysteretic Capacity Switching for M/G/1 Queues ⋮ A two-sided first-exit problem for a compound Poisson process with a random upper boundary ⋮ First-crossing and ballot-type results for some nonstationary sequences ⋮ A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space ⋮ On some functionals of the first passage times in jump models of stochastic volatility ⋮ On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models ⋮ A Direct Approach to the Discounted Penalty Function ⋮ Exit problems for the difference of a compound Poisson process and a compound renewal process ⋮ Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process ⋮ Stochastic Dynamics for Passage Times and Diffusion Approximations for Finite Capacity Storage Models with Different Kinds of Barriers ⋮ Escape probabilities from an interval for compound Poisson processes with drift ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
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