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On the First Crossing of Two Boundaries by an Order Statistics Risk Process
- Source :
- Risks, Vol 5, Iss 3, p 43 (2017)
- Publication Year :
- 2017
- Publisher :
- MDPI AG, 2017.
-
Abstract
- We derive a closed form expression for the probability that a non-decreasing, pure jump stochastic risk process with the order statistics (OS) property will not exit the strip between two non-decreasing, possibly discontinuous, time-dependent boundaries, within a finite time interval. The result yields new expressions for the ruin probability in the insurance and the dual risk models with dependence between the claim severities or capital gains respectively.
Details
- Language :
- English
- ISSN :
- 22279091
- Volume :
- 5
- Issue :
- 3
- Database :
- Directory of Open Access Journals
- Journal :
- Risks
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.6de8285645ef4a66816466c859a1fee3
- Document Type :
- article
- Full Text :
- https://doi.org/10.3390/risks5030043