Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier-Reference-Cited by-同舟云学术

Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier

Published:2015-08-23 Issue:1 Volume:19 Page:75-95
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Boutsikas Michael V.,Politis Konstadinos

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-015-9459-2.pdf

Reference21 articles.

1. Dickson DCM (1992) The distribution of the surplus prior to ruin. Insur: Math Econ 11(3):191–207

2. Dickson DCM (1998) On a class of renewal risk processes. North Amer Act J 2:60–66

3. Dickson DCM, Gray JR (1984) Approximations to ruin probability in the presence of an upper absorbing barrier. Scandinavian Actuarial Journal:105–115

4. Dickson DCM, Li S (2013) The distribution of the time to reach a given level and the duration of negative surplus in the the Erlang(2) risk model. Insur: Math Econ 52:490–497

5. Gerber HU (1990) When does the surplus reach a given target Insur: Math Econ 9:115–119

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