Analysis of risk models using a level crossing technique

DOI10.1016/j.insmatheco.2011.05.005zbMath1284.91210OpenAlexW1970155616MaRDI QIDQ654805

Kaiqi Yu, Percy H. Brill

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.005

zbMATH Keywords

deficit at ruindividend barrier or thresholdheavy-tailed claim sizeshyperexponential claim sizeslevel crossing methodtime until ruin

Mathematics Subject Classification ID

Related Items (4)

Stationary distribution of the surplus in a risk model with dividends and reinvestments ⋮ Analysis of the stochastic cash balance problem using a level crossing technique ⋮ ALTERNATIVE ANALYSIS OF FINITE-TIME PROBABILITY DISTRIBUTIONS OF RENEWAL THEORY ⋮ Note on the service time in an \(\mathrm{M}/\mathrm{G}/1\) queue with bounded workload

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