On Erlang(2) Risk Process Perturbed by Diffusion

DOI10.1080/STA-200066455zbMath1078.60509OpenAlexW2027849013MaRDI QIDQ5704567

Hailiang Yang, Rong-Ming Wang, Kam-Chuen Yuen

Publication date: 15 November 2005

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

Full work available at URL: https://doi.org/10.1080/sta-200066455

zbMATH Keywords

diffusionintegral equationmartingalerandom walkBrownian motion with driftLundberg's inequalityadjustment-coefficient

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25) Transition functions, generators and resolvents (60J35)

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