Pregled bibliografske jedinice broj: 588059
Ruin Probability Functions With N Intersections
Ruin Probability Functions With N Intersections // 25th EUROPEAN CONFERENCE ON OPERATIONAL RESEARCH, 8-11 July 2012. Vilnius, Lithuania / M. Christansen, K. Aardal, E. Fernandez, R. Hartl (ur.).
Vilnius: The Association of European Operational Research Societies, 2012. str. 53-53 (demonstracija, nije recenziran, sažetak, znanstveni)
CROSBI ID: 588059 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Ruin Probability Functions With N Intersections
Autori
Slijepčević-Manger, Tatjana
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni
Izvornik
25th EUROPEAN CONFERENCE ON OPERATIONAL RESEARCH, 8-11 July 2012. Vilnius, Lithuania
/ M. Christansen, K. Aardal, E. Fernandez, R. Hartl - Vilnius : The Association of European Operational Research Societies, 2012, 53-53
Skup
25th EUROPEAN CONFERENCE ON OPERATIONAL RESEARCH 8-11 July 2012. Vilnius, Lithuania
Mjesto i datum
Vilnius, Litva, 08.07.2012. - 11.07.2012
Vrsta sudjelovanja
Demonstracija
Vrsta recenzije
Nije recenziran
Ključne riječi
Levy process; ruin probability function
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
