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1 paper

math.PR2021

A Review of First-Passage Theory for the Segerdahl Risk Process and Extensions

Florin Avram, Jose-Luis Perez-Garmendia

The Segerdahl process (Segerdahl (1955)), characterized by exponential claims and affine drift, has drawn a considerable amount of interest -- see, for example, (Tichy (1984); Avra…