ON THE EXIT FROM A FINITE INTERVAL FOR THE RISK PROCESSES WITH STOCHASTIC PREMIUMS

D. V. GUSAK AND E. V. KARNAUKH

Theory of Stochastic Processes Vol. 11 (27), no. 3–4, 2005, pp. 71–81

We consider the almost semicontinuous step-process $\xi(t)$. The conditional characteristic functions of the jumps of $\xi(t)$ have the form $E[e^{i\alpha \xi_k}/\xi_k>0]=c(c-i\alpha)^{-1}$. For such processes, the boundary functionals related to the exit from a finite interval are investigated.


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