An Application of Semi-Markovian Models to the Ruin Problem
Fuente:
Redalyc
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Artículo científico |
| Langue: | en |
| Publié: |
Universidad Nacional de Colombia
2011
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1876457598088118272 |
|---|---|
| author | Elena Almaraz-Luengo |
| author_facet | Elena Almaraz-Luengo |
| contents | An Application of Semi-Markovian Models to the Ruin Problem Elena Almaraz-Luengo Física, Astronomía y Matemáticas Semi Coupling Simulation Markov chains Markov process We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed. 2011 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89922501006 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.3 Vol.34 |
| format | Artículo científico |
| id | redalyc_89922501006 |
| institution | Redalyc |
| language | en |
| publishDate | 2011 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | An Application of Semi-Markovian Models to the Ruin Problem Elena Almaraz-Luengo Física, Astronomía y Matemáticas Semi Coupling Simulation Markov chains Markov process An Application of Semi-Markovian Models to the Ruin Problem Elena Almaraz-Luengo Física, Astronomía y Matemáticas Semi Coupling Simulation Markov chains Markov process We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed. 2011 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89922501006 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.3 Vol.34 |
| title | An Application of Semi-Markovian Models to the Ruin Problem |
| topic | Física, Astronomía y Matemáticas Semi Coupling Simulation Markov chains Markov process |
| url | https://www.redalyc.org/articulo.oa?id=89922501006 |