A continuity theorem in the ruin problem

被引：0
|
作者：
Borisov I.S. [1 ,2 ]
Shoisoronov A.M. [2 ]
机构：
[1] Sobolev Institute of Mathematics, Novosibirsk State University, Novosibirsk
[2] Novosibirsk State University, Novosibirsk
来源：
Siberian Mathematical Journal | 2011年 / 52卷 / 4期
关键词：
exit time; Markov property of the jump distribution; random walk; ruin probability; two-sided exponential distribution; two-sided generalized geometric distribution;
D O I：
10.1134/S0037446611040057
中图分类号：
学科分类号：
摘要：
For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions. © 2011 Pleiades Publishing, Ltd.
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页码：602 / 611
页数：9
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