| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130005973 |
| 003 | | | MAP |
| 005 | | | 20130221101048.0 |
| 008 | | | 130219e20130107esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | 1 | | $0MAPA20130002408$aIvanovs, Jevgenijs |
| 245 | 1 | 2 | $aA Note on killing with applications in risk theory$cJevgenijs Ivanovs |
| 520 | | | $aIt is often natural to consider defective or killed stochastic processes. Various observations continue to hold true for this wider class of processes yielding more general results in a transparent way without additional effort. We illustrate this point with an example from risk theory by showing that the ruin probability for a defective risk process can be seen as a triple transform of various quantities of interest on the event of ruin. In particular, this observation is used to identify the triple transform in a simple way when either claims or interarrivals are exponential. We also show how to extend these results to modulated risk processes, where exponential distributions are replaced by phase-type distributions. In addition, we review and streamline some basic exit identities for defective Lévy and Markov additive processes. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g07/01/2013 Volumen 52 Número 1 - enero 2013 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
