On the First Crossing of Two Boundaries by an Order Statistics Risk Process
Dimitrova, D. S., Ignatov, Z. G. & Kaishev, V. K. (2017). On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks, 5(3), article number 43. doi: 10.3390/risks5030043
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.
| Publication Type: | Article |
|---|---|
| Publisher Keywords: | double boundary non-crossing probability; point process; risk process; ruin probability; Appell polynomials |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
| SWORD Depositor: |
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