Sección: ArtículosTítulo: A Note on killing with applications in risk theory / Jevgenijs IvanovsAutor: Ivanovs, JevgenijsNotas: Sumario: It 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/01/2013 Volumen 52 Número 1 - enero 2013 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
