A CONTINUITY THEOREM IN THE RUIN PROBLEM

作者：Borisov I S^*; Shoisoronov A M

来源：Siberian Mathematical Journal, 2011, 52(4): 602-611.

DOI：10.1134/s0037446611040057

• random walk
• Markov property of the jump distribution
• exit time
• ruin probability
• two-sided generalized geometric distribution
• two-sided exponential distribution

For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions.

• 出版日期2011-7