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The distribution of the first [beta] point in the classical risk model with interest

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  • Li, Zhigang
  • Wu, Rong
  • Du, Yonghong

Abstract

In this paper we investigate the distribution function and the Laplace-Stieltjes Transform(L-S-T) of the first [beta] point of the surplus process {U(t),t[greater-or-equal, slanted]0} using its strong Markov property and the theory of renewal measure. We find the distribution function of in some cases.

Suggested Citation

  • Li, Zhigang & Wu, Rong & Du, Yonghong, 2007. "The distribution of the first [beta] point in the classical risk model with interest," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 873-880, May.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:9:p:873-880
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    References listed on IDEAS

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    1. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
    2. Wu, Rong & Wang, Guojing & Wei, Li, 2003. "Joint distributions of some actuarial random vectors containing the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 147-161, August.
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