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Volumn 16, Issue 1, 2002, Pages 19-27

Exact distributions in a jump-diffusion storage model

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Indexed keywords

INDUSTRIAL ENGINEERING;

EID: 0036002046     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/S026996480216102X     Document Type: Article
Times cited : (8)

References (18)
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  • 4
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    • De Vylder, F. & Goovaerts, M.J. (1999). Explicit finite-time and infinite-time ruin probabilities in the continuous case. Insurance: Mathematics and Economics 24:155-172.
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    • The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
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  • 8
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  • 9
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  • 10
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  • 11
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    • Stochastic differential equations for ruin probabilities
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