Ruin Probability Functions With N Intersections (CROSBI ID 588408)
Prilog sa skupa u zborniku | sažetak izlaganja sa skupa
Podaci o odgovornosti
Slijepčević-Manger, Tatjana
engleski
Ruin Probability Functions With N Intersections
In this paper we show that for any positive integer N we can construct two spectrally negative Levy processes such that their ruin probability functions have at least N positive intersections. This means that in some cases the optimal ruin strategy can be very unstable.
Levy process; ruin probability function
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Podaci o prilogu
53-53.
2012.
objavljeno
Podaci o matičnoj publikaciji
M. Christansen, K. Aardal, E. Fernandez, R. Hartl
Vilnius: The Association of European Operational Research Societies
Podaci o skupu
25th EUROPEAN CONFERENCE ON OPERATIONAL RESEARCH 8-11 July 2012. Vilnius, Lithuania
ostalo
08.07.2012-11.07.2012
Vilnius, Litva