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...
| Autor: | |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2011 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/43712 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/43712 |
| Access Level: | acceso abierto |
| Palabra clave: | 519.2 Coupling Markov chains Semi-Markov process Simulation Stochastic ordering. Estadística aplicada |
| Sumario: | 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 under consideration is proposed. |
|---|