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dc.contributor.authorClaramunt Bielsa, M. Mercè
dc.contributor.authorMármol, M. Teresa
dc.contributor.authorLacayo, Ramón A.
dc.identifier.citationClaramunt Bielsa, M. Mercè; Mármol, M. Teresa; Lacayo, Ramón A.. "On the probability of reaching a barrier in an Erlang(2) risk process". SORT, 2005, Vol. 29, núm. 2
dc.description.abstractHolaIn this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of interoccurrence time between claims distributed as Erlang(2, β) and the individual claim amount as Erlang (n, γ).
dc.publisherInstitut d'Estadística de Catalunya
dc.relation.ispartofSORT. 2005, Vol. 29, Núm. 2 [July-December]
dc.rightsAttribution-NonCommercial-NoDerivs 2.5 Spain
dc.subject.otherMathematical economics
dc.titleOn the probability of reaching a barrier in an Erlang(2) risk process
dc.subject.lemacAplicacions (Matemàtica)
dc.subject.lemacMatemàtica financera
dc.description.peerreviewedPeer Reviewed
dc.subject.amsClassificació AMS::62 Statistics::62P Applications
dc.subject.amsClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
dc.rights.accessOpen Access

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