Limit behavior of the distribution of the ruin moment of a modified risk process

• Date: 1999
• Main Authors: Gusak, D. V., Гусак, Д. В.
• Format: Article
• Language: Ukrainian; English
• Published: Institute of Mathematics, NAS of Ukraine 1999
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/4672
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

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...