On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model
DOI10.1080/03461238.2023.2208787OpenAlexW4376141578MaRDI QIDQ6121111
Unnamed Author, Michael V. Boutsikas, Eutichia Vaggelatou
Publication date: 26 February 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2023.2208787
ruin probabilityrenewal risk modelmixed Erlang distributionjump diffusion processovershoot and undershootexponentially tilted probability measuretwo-sided first exit timenumber of claims to ruin
Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)
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