Martingales and the distribution of the time to ruin-Reference-Cited by-同舟云学术

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Martingales and the distribution of the time to ruin

Published:2003-09 Issue:1 Volume:107 Page:29-51
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Jacobsen Martin

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference10 articles.

1. Ruin Probabilities;Asmussen,2000

2. Asmussen, S., Avram, F., Pistorius, M.R., 2002. Russian and American put options under exponential phase-type Lévy models. Technical Report, University of Lund.

3. Markov Models and Optimization;Davis,1993

4. Ruin probabilities for Erlang(2) risk processes;Dickson;Insurance: Math. Econom.,1998

5. Dickson, D.C.M., Hipp, C., 2000. Ruin problems for phase-type(2) risk processes. Scand. Actuar. J., 147–167.

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Lévy Processes, Phase-Type Distributions, and Martingales;Stochastic Models;2014-10-02

2. The Time to Ruin in Some Additive Risk Models with Random Premium Rates;Journal of Applied Probability;2012-12

3. The Time to Ruin in Some Additive Risk Models with Random Premium Rates;Journal of Applied Probability;2012-12

4. Exit times for a class of random walks exact distribution results;Journal of Applied Probability;2011-08

5. Exit times for a class of random walks exact distribution results;Journal of Applied Probability;2011-08

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