Avram, Florin; Perez-Garmendia, Jose-Luis - In: Risks : open access journal 7 (2019) 4/117, pp. 1-21
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,...