Occupation measure and local time of classical risk processes

被引：7

作者：

Kolkovska, ET

López-Mimbela, JA

Morales, JV

机构：

[1] Ctr Invest Matemat, Guanajuato, Mexico

[2] Univ Autonoma Aguascalientes, Aguascalientes, Mexico

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2005年 / 37卷 / 03期

关键词：

classical risk process; local time; negative surplus; occupation time; recovery costs;

D O I：

10.1016/j.insmatheco.2005.05.011

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We prove existence of local time of renewal risk processes with continuous claim distribution. For the classical risk process, we obtain the Laplace transform of its occupation time in various important cases. As an application of our results, we obtain the expected recovering cost for the classical risk process with exponentially distributed claims. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：573 / 584

页数：12

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