Pregled bibliografske jedinice broj: 114002
Ruin probabilities and decompositions for general perturbed risk processes
Ruin probabilities and decompositions for general perturbed risk processes // Annals of applied probability, 14 (2004), 3; 1378-1397 doi:10.1214/105051604000000332 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 114002 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Ruin probabilities and decompositions for general perturbed risk processes
Autori
Huzak, Miljenko ; Perman, Mihael ; Šikić, Hrvoje ; Vondraček, Zoran
Izvornik
Annals of applied probability (1050-5164) 14
(2004), 3;
1378-1397
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
risk theory ; ruin probability ; Pollaczek-Hinchin formula ; subordinator ; spectrally negative Levy process
Sažetak
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, and the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type formula for the survival probability of that risk process, and give an interpretation of the formula based on the decomposition of the dual risk process at modified ladder epochs.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
Uključenost u ostale bibliografske baze podataka::
- MathSciNet
- Zentrallblatt für Mathematik/Mathematical Abstracts
