Pregled bibliografske jedinice broj: 1008013
Distribution of suprema for generalized risk processes
Distribution of suprema for generalized risk processes // Stochastic models, 35 (2019), 1; 33-50 doi:10.1080/15326349.2018.1559740 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1008013 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Distribution of suprema for generalized risk processes
Autori
Geček Tuđen, Ivana
Izvornik
Stochastic models (1532-6349) 35
(2019), 1;
33-50
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Ladder height process, Lévy process, modified ladder heights, net profit condition, Pollaczek–Khinchine formula, risk theory, subordinator, supremum, fluctuation theory
Sažetak
We study a generalized risk process X(t)=Y(t)−C(t), t∈[0, τ], where Y is a Lévy process, C an independent subordinator and τ an independent exponential time. Dropping the standard assumptions on the finite expectations of the processes Y and C and the net profit condition, we derive a Pollaczek– Khinchine type formula for the supremum of the dual process Xˆ=−X on [0, τ] which generalizes previously known results. We also discuss which assumptions are necessary for deriving this formula, especially from the point of view of the ladder process.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (SMAAP) (Vondraček, Zoran, HRZZ - 2013-11) ( CroRIS)
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb
Profili:
Ivana Geček Tuđen
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
