Probability of ruin with variable premium rate in a Markovian environment
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Publication:5956051
DOI10.1016/S0167-6687(01)00090-7zbMath0999.91048OpenAlexW2080460894MaRDI QIDQ5956051
Publication date: 19 February 2002
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00090-7
Laplace transformsintegral equationruin probabilityCox processclaim number processexponential claimsrisk reserve modeltwo-state intensity process
Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27)
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