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Surplus Dependent Risk Models
corresponding piecewise deterministic Markov process S(t) with infinitesimal generator, fo°°[f(x y) f(x)lP(dy)] ... probability of ruin is the same for the process S(t) and U(t), the latter being the classical compound ...- Authors: José Garrido, Wojciech Szatzschneider
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments