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On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments

✍ Scribed by Gusak, D. V.


Book ID
118222914
Publisher
Society for Industrial and Applied Mathematics
Year
1969
Tongue
English
Weight
614 KB
Volume
14
Category
Article
ISSN
0040-585X

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The first exit time and ruin time for a
✍ 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