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Occupation Measure and Local Time of Classical Risk Processes by Ekaterina T. Kolkovska; José A. López-Mimbela; José Villa Morales is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Occupation Measure and Local Time of Classical Risk Processes about?

We prove existence of local time of renewal risk processes with continuous claim distribution. For the classical risk process, we obtain the Laplace transform of its occupation time in various important cases. As an application of our results, we obtain the expected recovering cost for the classical risk process with exponentially distributed claims.

Who reads Occupation Measure and Local Time of Classical Risk Processes?

Author

Ekaterina T. Kolkovska; José A. López-Mimbela; José Villa Morales

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-6687)

Published

2005

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)