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- W2023036609 abstract "We determine the ultimate ruin probability and the Laplace transform of the distribution of the time to ruin in the classical risk model, where claims arrive according to a renewal process, with waiting times that are of phase-type, while the claims themselves follow a distribution with a Laplace transform that is a rational function. The main tools are martingales, the optional sampling theorem and results from the theory of piecewise deterministic Markov processes." @default.
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- W2023036609 date "2003-09-01" @default.
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- W2023036609 title "Martingales and the distribution of the time to ruin" @default.
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- W2023036609 doi "https://doi.org/10.1016/s0304-4149(03)00072-3" @default.
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