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A continuity theorem in the ruin problem.

Authors :
Borisov, I.
Shoisoronov, A.
Source :
Siberian Mathematical Journal. Jul2011, Vol. 52 Issue 4, p602-611. 10p.
Publication Year :
2011

Abstract

For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00374466
Volume :
52
Issue :
4
Database :
Academic Search Index
Journal :
Siberian Mathematical Journal
Publication Type :
Academic Journal
Accession number :
64588434
Full Text :
https://doi.org/10.1134/S0037446611040057