Ruin probabilities of a surplus process described by PDMPs

DOI10.1007/s10255-006-6137-8zbMath1141.91027OpenAlexW2014221666MaRDI QIDQ925989

Hua-Yue Zhang, Rong Wu, Jing-Min He

Publication date: 26 May 2008

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-006-6137-8

zbMATH Keywords

integro-differential equationpiecewise deterministic Markov processsurplus processexponentially distributed claim size

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Cites Work

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• Ruin theory for the risk process described by PDMPs
• Martingales and insurance risk
• Ruin probabilities via local adjustment coefficients

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