An Application of Semi-Markovian Models to the Ruin Problem

被引：0

作者：

Almaraz-Luengo, Elena ^{[1
]}

机构：

[1] Univ Complutense Madrid, Fac Ciencias Matemat, Dept Estadist & Invest Operat, Madrid, Spain

来源：

REVISTA COLOMBIANA DE ESTADISTICA | 2011年 / 34卷 / 03期

关键词：

Coupling; Markov chains; Semi-Markov process; Simulation; Stochastic ordering;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the classical ruin problem due to Cramer and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed.

引用

页码：477 / 495

页数：19

共 20 条

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[2]

Asmussen S., 1989, SCANDINAVIAN ACTUARI, V2

[3]

Beard R.E., 1984, RISK THEORY, Vthird

[4]

Beekman J., 1969, T SOC ACTUARIES, V21