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arXiv · 0909.1191

On the exit from a finite interval for the risk processes with stochastic premiums

D. V. Gusak·E. V. Karnaukh
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Abstract

In this article the almost semi-continuous step-process $ξ(t)$ is considered. The conditional characteristic functions of the jumps of $ξ(t)$ have the form $\mathrm{E} [ e^{iαξ_k}/ξ_k>0 ]=c(c-iα)^{-1}$. For such processes the boundary functionals connected with the exit from the finite interval are investigated.

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D. V. Gusak, E. V. Karnaukh. 2009-09-07. On the exit from a finite interval for the risk processes with stochastic premiums. https://arxiv.org/abs/0909.1191

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