Geodesic
On some characteristics of the claim surplus process
Teoriâ slučajnyh processov, Tome 14 (2008) no. 1, pp. 49-59.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{THSP_2008_14_1_a5,
     author = {Dmytro Gusak},
     title = {On some characteristics of  the claim surplus process},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {49--59},
     publisher = {mathdoc},
     volume = {14},
     number = {1},
     year = {2008},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2008_14_1_a5/}
}
TY  - JOUR
AU  - Dmytro Gusak
TI  - On some characteristics of  the claim surplus process
JO  - Teoriâ slučajnyh processov
PY  - 2008
SP  - 49
EP  - 59
VL  - 14
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/THSP_2008_14_1_a5/
LA  - en
ID  - THSP_2008_14_1_a5
ER  - 
%0 Journal Article
%A Dmytro Gusak
%T On some characteristics of  the claim surplus process
%J Teoriâ slučajnyh processov
%D 2008
%P 49-59
%V 14
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/THSP_2008_14_1_a5/
%G en
%F THSP_2008_14_1_a5
Dmytro Gusak. On some characteristics of  the claim surplus process. Teoriâ slučajnyh processov, Tome 14 (2008) no. 1, pp. 49-59. http://geodesic.mathdoc.fr/item/THSP_2008_14_1_a5/

[1] D. V. Gusak , V. S. Korolyuk, “On the first passage time across a given level for processes with independent increments”, Theory Prob. Appl., 13:3 (1969), 448-–456 | DOI | MR

[2] D. V. Gusak, “On the jount distribution of the first exit time and exit value for homogeneous process with independent increments”, Theory Prob. Appl., 14:1 (1969), 14-–23 | DOI | MR

[3] D. V. Gusak (Husak), “Distribution of overjump functionals of a semicontinuous homogeneous process with independent increments”, Ukr. Math. Journ., 54:3 (2002), 371-–397 | DOI | MR | Zbl

[4] D. V. Gusak (Husak), Factorization Methods in Boundary Problems for One Class of Random Processes, Author’s Abstract of Doctoral-Degree Thesis (Physics and Mathematics), Institute of Math. Ukr. Acad. Sci., Kyiv, 1980 (in Russian)

[5] V. S. Korolyuk, Boundary Problems for Compound Poisson Processes, Naukova Dumka, Kyiv, 1975 (in Russian) | MR

[6] A. A. Borovkov, Stochastic Processes in the Queuing Theory, Nauka, Moscow, 1972 (in Russian) | MR

[7] N. S. Bratiychuk, D. V. Gusak, Boundary-Value Problems for Processes with Independent Increments, Naukova Dumka, Kyiv, 1990 (in Russian) | MR

[8] S. Asmussen, Ruin Probability, World Scientific, Singapore, 2000 | MR

[9] T. Rolsky, H. Shmidly, V. Shmidt, J. Teugels, Stochastic Process for Insurance and Finance, Wiley, New York, 1999 | MR

[10] D. C. M. Dickson, “On the distribution of the surplus prior to ruin, Insurance”, Math. and Econom., 11:3, 191-–207 | DOI | MR | Zbl

[11] A. D. E. Dos Reis, “How long is the surplus below zero?, Insurance”, Math. and Econom., 12:1 (1993), 23-–38 | DOI | MR | Zbl

[12] D. C. M. Dickson, A. D. E. Dos Reis, “On the distribution of the duratoin of negative surplus”, Scand. Actuar. Journal, 1996, 148–164 | DOI | MR | Zbl

[13] D. V. Husak, “The behavior of the classic risk process after the ruin time and the multivariate ruin function”, Ukr. Math. J. (to appear) | MR

[14] D. V. Husak, “Boundary problems for the processes with stationary independent increments in risk theory”, Transactions of the Institute of Mathematics of the Nat. Acad. Sci. of Ukraine, 65, 2007, 460 (in Ukrainian) | MR