Ruin probabilities and decompositions for general perturbed risk processes (CROSBI ID 99972)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Huzak, Miljenko ; Perman, Mihael ; Šikić, Hrvoje ; Vondraček, Zoran
engleski
Ruin probabilities and decompositions for general perturbed risk processes
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, and the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type formula for the survival probability of that risk process, and give an interpretation of the formula based on the decomposition of the dual risk process at modified ladder epochs.
risk theory ; ruin probability ; Pollaczek-Hinchin formula ; subordinator ; spectrally negative Levy process
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Podaci o izdanju
14 (3)
2004.
1378-1397
objavljeno
1050-5164
10.1214/105051604000000332