A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems

A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems

The Segerdahl-Tichy Process, characterized by exponential claims and state dependent drift, has drawn a considerable amount of interest, due to its economic interest (it is the simplest risk process which takes into account the effect of interest rates). It is also the simplest non-Lévy, no...

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Bibliographic Details
Main Authors: Florin Avram, Jose-Luis Perez-Garmendia
Format: Article
Language:English
Published: MDPI AG 2019-11-01
Series:Risks
Subjects:
segerdahl process
affine coefficients
first passage
spectrally negative markov process
scale functions
hypergeometric functions
Online Access:https://www.mdpi.com/2227-9091/7/4/117

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https://www.mdpi.com/2227-9091/7/4/117

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