2019
Том 71
№ 11

All Issues

Limit behavior of the distribution of the ruin moment of a modified risk process

Gusak D. V.

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Abstract

For modified risk process with instantaneous reflection at the point $B > 0$ under which the considered process $$\zeta(t) = \zeta_{B, \mu}(t),\; \zeta(0) = u,\; 0 \leq u \leq B,$$ returns in the initial state $u$, we investigate the limit behavior of generating function of the first ruin moment as $u \rightarrow B$ and $B \rightarrow \infty$.

English version (Springer): Ukrainian Mathematical Journal 51 (1999), no. 6, pp 948-955.

Citation Example: Gusak D. V. Limit behavior of the distribution of the ruin moment of a modified risk process // Ukr. Mat. Zh. - 1999. - 51, № 6. - pp. 847–853.

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