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Parisian ruin for the dual risk process in discrete-time
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the finite-time Parisian ruin probability, in terms of classic discrete-time dual ruin proba...
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| Publicado no: | Eur Actuar J |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2018
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6003993/ https://ncbi.nlm.nih.gov/pubmed/29974030 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s13385-018-0172-8 |
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