Limit behavior of the distribution of the ruin moment of a modified risk process
For modified risk process with instantaneous reflection at the point $B > 0$ under which the considered process $$\zeta(t) = \zeta_{B, \mu}(t),\; \zeta(0) = u,\; 0 \leq u \leq B,$$ returns in the initial state $u$, we investigate the limit behavior of generating function of the first ruin m...
Gespeichert in:
| Datum: | 1999 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Ukrainisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
1999
|
| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/4672 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
Institution
Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | For modified risk process with instantaneous reflection at the point $B > 0$ under which the considered process
$$\zeta(t) = \zeta_{B, \mu}(t),\; \zeta(0) = u,\; 0 \leq u \leq B,$$
returns in the initial state $u$, we investigate the limit behavior of generating function of the first ruin moment as $u \rightarrow B$ and $B \rightarrow \infty$.
|
|---|