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Ruin probabilities for competing claim processesHuzak, Miljenko ...Naj bodo ▫$C_1,C_2,...,C_m$▫ neodvisni subordinatorji s končnimi upanji in vsoto ▫$C$▫. Naj ▫$X(t) = x + ct - C(t)$▫ klasični proces tveganja. Verjetnost propada je podana z Pollaczek-Khinchinovo ... formulo. Če pride do propada, bo tega povzročil eden ob subordinatorjev ▫$C_i$▫. V članku so izpeljane verjetnosti, da bo propad povzročil ▫$C_i$▫. Formule so posplošene na primer, ko je ▫$X(t) = x + ct - C(t) + Z(t)$▫, kjer je ▫$Z$▫ Lévyjev proces z matematičnim upanjem 0 in s samimi pozitivnimi skoki.Source: Journal of Applied Probability. - ISSN 0021-9002 (Vol. 41, no. 3, 2004, str. 679-690)Type of material - article, component partPublish date - 2004Language - englishCOBISS.SI-ID - 13207641
Author
Huzak, Miljenko |
Perman, Mihael |
Šikić, Hrvoje |
Vondraček, Zoran
Topics
matematika |
verjetnostni račun |
teorija tveganja |
verjetnost propada |
Pollaczek-Hinčinova formula |
subordinator |
spektralno negativn Lévyjevi procesi |
mathematics |
probability theory |
random processes |
risk theory |
ruin probability |
Pollaczek-Hinchin formula |
subordinator |
spectrally negative Lévy process
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Huzak, Miljenko | ![]() |
Perman, Mihael | 10013 |
Šikić, Hrvoje | ![]() |
Vondraček, Zoran | ![]() |
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