On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20150027023 | ||
| 003 | MAP | ||
| 005 | 20150911144820.0 | ||
| 008 | 150805e20100503esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20110031138$aNg, A.C-Y. | ||
| 245 | 1 | 0 | $aOn the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains$cAndrew C.Y. Ng |
| 520 | $aIn this paper, we consider the dual of the classical Cramér-Lundberg model when gains follow a phase-type distribution. By using the property of phase-type distribution, two pairs of upcrossing and downcrossing barrier probabilities are derived. Explicit formulas for the expected total discounted dividends until ruin and the Laplace transform of the time of ruin under a variety of dividend strategies can then be obtained without the use of Laplace transforms. | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 281-306 |