Búsqueda

Occupation times in the MAP risk model

Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20150006295
003  MAP
005  20150212093855.0
008  150209e20150112esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20150006356‎$a‎Landriaulta, David
24510‎$a‎Occupation times in the MAP risk model‎$c‎David Landriaulta, Tianxiang Shi
520  ‎$a‎Occupation times have so far been primarily analyzed in the class of Lévy processes, most notably some of its special cases, by capitalizing on the stationary and independence property of the process increments. In this paper, we relax this assumption and provide a closed-form expression for the Laplace transform of occupation times for surplus processes governed by a Markovian claim arrival process. This will naturally allow us to revisit some occupation time results for the compound Poisson risk model. We also identify the density of the total duration of negative surplus and its individual contributions when the number of claims occurring with negative surplus levels is jointly studied. Finally, a numerical example in an Erlang-2 renewal risk process is also considered
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎12/01/2015 Volumen 60 Número - enero 2015
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