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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Detalles Bibliográficos
Autor: Almaraz Luengo, Elena Salome
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
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spelling An Application of Semi-Markovian Models to the Ruin ProblemAlmaraz Luengo, Elena Salome519.2CouplingMarkov chainsSemi-Markov processSimulationStochastic ordering.Estadística aplicadaWe 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.Universidad Nacional de ColombiaUniversidad Complutense de Madrid20112011-12-0120112011-12-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/43712reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/437122026-06-02T12:44:21Z
dc.title.none.fl_str_mv An Application of Semi-Markovian Models to the Ruin Problem
title An Application of Semi-Markovian Models to the Ruin Problem
spellingShingle An Application of Semi-Markovian Models to the Ruin Problem
Almaraz Luengo, Elena Salome
519.2
Coupling
Markov chains
Semi-Markov process
Simulation
Stochastic ordering.
Estadística aplicada
title_short An Application of Semi-Markovian Models to the Ruin Problem
title_full An Application of Semi-Markovian Models to the Ruin Problem
title_fullStr An Application of Semi-Markovian Models to the Ruin Problem
title_full_unstemmed An Application of Semi-Markovian Models to the Ruin Problem
title_sort An Application of Semi-Markovian Models to the Ruin Problem
dc.creator.none.fl_str_mv Almaraz Luengo, Elena Salome
author Almaraz Luengo, Elena Salome
author_facet Almaraz Luengo, Elena Salome
author_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv 519.2
Coupling
Markov chains
Semi-Markov process
Simulation
Stochastic ordering.
Estadística aplicada
topic 519.2
Coupling
Markov chains
Semi-Markov process
Simulation
Stochastic ordering.
Estadística aplicada
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-12-01
2011
2011-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/43712
url https://hdl.handle.net/20.500.14352/43712
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad Nacional de Colombia
publisher.none.fl_str_mv Universidad Nacional de Colombia
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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