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- W4288278665 abstract "We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only negative jumps arise we give a general solution for escape and survival probabilities under Erlang$(n)$ and hypo-exponential arrivals. These ideas are generalized to the class of arrival distributions having rational Laplace transforms. In a general situation with two-sided jumps we also identify important families of solvable cases. A parallelism with the scale function of diffusion processes is drawn." @default.
- W4288278665 created "2022-07-28" @default.
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- W4288278665 date "2019-07-27" @default.
- W4288278665 modified "2023-09-30" @default.
- W4288278665 title "Escape probabilities of compound renewal processes with drift" @default.
- W4288278665 doi "https://doi.org/10.48550/arxiv.1907.11894" @default.
- W4288278665 hasPublicationYear "2019" @default.
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