The time to ruin for a class of Markov additive risk process with two-sided jumps

Advances in Applied Probability

Volumn 37, Issue 4, 2005, Pages 963-992

  Jacobsen, Martin ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Additive process; Martingale; Optional sampling; Passage time; Probability of ruin; Rouch 's theorem; Time to ruin; Undershoot

Indexed keywords

BROWNIAN MOVEMENT; EIGENVALUES AND EIGENFUNCTIONS; LAPLACE TRANSFORMS; MATHEMATICAL MODELS; PROBABILITY; SAMPLING;

ADDITIVE PROCESS; MARKOV ADDITIVE RISK PROCESS; MARTINGALE; OPTIONAL SAMPLING; PASSAGE TIME; PROBABILITY OF RUIN; ROUCH S THEOREM; TIME TO RUIN; UNDERSHOOT;

MARKOV PROCESSES;

EID: 31944435659     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1134587749     Document Type: Article

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