Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552809 | Insurance: Mathematics and Economics | 2005 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ekaterina T. Kolkovska, José A. López-Mimbela, José Villa Morales,