Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier
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DOI: 10.1007/s11009-015-9459-2
Abstract: We study the movement of a surplus process with initial capital u in the presence of two barriers: a lower barrier at zero and an upper barrier at b (b > u). More specifically, we… read more here.
Keywords: surplus process; presence; upper barrier; process ... See more keywords
A surplus process involving a compound Poisson counting process and applications
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1586942
Abstract: Abstract In this paper, we introduce a surplus process involving a compound Poisson counting process, which is a generalization of the classical ruin model where the claim-counting process is a homogeneous Poisson process. The incentive… read more here.
Keywords: process involving; surplus process; counting process; poisson ... See more keywords