An Application of Semi-Markovian Models to the Ruin Problem
We consider the classical ruin problem due to Cramér 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...
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| Publicado en: | Revista Colombiana de Estadística |
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| Autor principal: | |
| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Universidad Nacional de Colombia
2011
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| Materias: | |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=89922501006 |
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