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Occupation measure and local time of classical risk processes

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  • Kolkovska, Ekaterina T.
  • Lopez-Mimbela, Jose A.
  • Morales, Jose Villa

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  • Kolkovska, Ekaterina T. & Lopez-Mimbela, Jose A. & Morales, Jose Villa, 2005. "Occupation measure and local time of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 573-584, December.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:573-584
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    References listed on IDEAS

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    1. Picard, Philippe, 1994. "On some measures of the severity of ruin in the classical Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 107-115, May.
    2. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.
    3. Gerber, Hans U., 1990. "When does the surplus reach a given target?," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 115-119, September.
    4. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
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    Cited by:

    1. Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
    2. He, Jingmin & Wu, Rong & Zhang, Huayue, 2009. "Total duration of negative surplus for the risk model with debit interest," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1320-1326, May.

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