Título:
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Approximations for multivariate characteristics of classical risk ruin processes
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Autores:
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Usábel Rodrigo, Miguel Arturo
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 1998
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Probabilidades
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Materia = Ciencias: Matemáticas: Teoría de la decisión
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.
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En línea:
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https://eprints.ucm.es/id/eprint/27082/1/9801.pdf
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