Conditional law of risk processes given that ruin occurs

DOI10.1016/j.insmatheco.2009.10.007zbMath1231.91233OpenAlexW2008329034MaRDI QIDQ659222

Hanspeter Schmidli

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.007

zbMATH Keywords

ruingeneratorweak convergencediffusion processMarkov processchange of measuresubexponential distributionjump processCramér conditionabsorbing statepiecewise deterministic Markov process (PDMP)

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

Related Items

Ruin probabilities in multivariate risk models with periodic common shock

Cites Work

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