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- W2024012489 abstract "Consider a risk reserve process under which the reserve can generate interest. For constants a and b such that a<b, we study the occupation time T a,b (t), which is the total length of the time intervals up to time t during which the reserve is between a and b. We first present a general formula for piecewise deterministic Markov processes, which will be used for the computation of the Laplace transform of T a,b (t). Explicit results are then given for the special case that claim sizes are exponentially distributed. The classical model is discussed in detail." @default.
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- W2024012489 date "2002-05-30" @default.
- W2024012489 modified "2023-09-26" @default.
- W2024012489 title "On occupation times for a risk process with reserve-dependent premium" @default.
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- W2024012489 doi "https://doi.org/10.1081/stm-120004466" @default.
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