On the First Crossing of Two Boundaries by an Order Statistics Risk Process
AbstractWe 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. View Full-Text
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Dimitrova, D.S.; Ignatov, Z.G.; Kaishev, V.K. On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks 2017, 5, 43.
Dimitrova DS, Ignatov ZG, Kaishev VK. On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks. 2017; 5(3):43.Chicago/Turabian Style
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K. 2017. "On the First Crossing of Two Boundaries by an Order Statistics Risk Process." Risks 5, no. 3: 43.