Título:
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Multivariate characteristics of risk ruin processes using T-years deferred ruin probability
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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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Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.
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En línea:
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https://eprints.ucm.es/id/eprint/27084/1/9804.pdf
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