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On a discrete-time risk model with general income and time-dependent claims

✍ Scribed by Liu, He; Bao, Zhenhua


Book ID
122237893
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
529 KB
Volume
260
Category
Article
ISSN
0377-0427

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✍ Sung Nok Chiu; Chuan Cun Yin πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 120 KB

This paper investigates the ΓΏrst exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the ΓΏrst exit time from an interval satisΓΏes an integro-di