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

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Abstract

For a modified risk process with instantaneous reflection at the pointB>0 under which the precess considered

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References

  1. D. V. Gusak, “On a model of oscillating random walk that describes a risk process,”Dolk. Akad. Nauk Ukr., No. 4, 7–11 (1998).

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  2. N. S. Bratiichuk and D. V. Gusak,Boundary-Value Problems for Processes with Independent Increments [in Russian], Naukova Dumka, Kiev (1990).

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  3. V. S. Korolyuk, N. S. Bratiichuk and B. Pirdzhanov,Boundary-Value Problems for Random Walks [in Russian], Ylym, Ashkhabad (1987).

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  4. A. A. Borovkov,Probabilistic Processes in Queueing Theory [in Russian], Nauka, Moscow (1972).

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  5. D. V. Gusak,Boundary-Value Problems for Processes with Independent Increments on the Markov Finite Chains and for Semi-Markov Proceess [in Russian], Institute of Mathematics, Ukrainian Academy of Sciences, Kiev (1998).

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Authors
  1. D. V. Gusak
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Additional information

Institute of Mathematics, Ukrainian Academy of Sciences, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 6, pp. 847–853, June, 1999

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Gusak, D.V. Limit behavior of the distribution of the ruin moment of a modified risk process. Ukr Math J 51, 948–955 (1999). https://doi.org/10.1007/BF02591982

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  • DOI: https://doi.org/10.1007/BF02591982

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