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A Note on killing with applications in risk theory

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1001 ‎$0‎MAPA20130002408‎$a‎Ivanovs, Jevgenijs
24512‎$a‎A Note on killing with applications in risk theory‎$c‎Jevgenijs Ivanovs
520  ‎$a‎It is often natural to consider defective or killed stochastic processes. Various observations continue to hold true for this wider class of processes yielding more general results in a transparent way without additional effort. We illustrate this point with an example from risk theory by showing that the ruin probability for a defective risk process can be seen as a triple transform of various quantities of interest on the event of ruin. In particular, this observation is used to identify the triple transform in a simple way when either claims or interarrivals are exponential. We also show how to extend these results to modulated risk processes, where exponential distributions are replaced by phase-type distributions. In addition, we review and streamline some basic exit identities for defective Lévy and Markov additive processes.
7730 ‎$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