کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129735 | 1489850 | 2017 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A generalization of Gerber's inequality for ruin probabilities in risk-switching models
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
In this paper, we investigate a risk-switching Sparre Andersen model which generalizes several discrete time- as well as continuous time risk models. A Markov chain is used as a 'switch' under the assumption that jumps change the amount and/or respective wait time distributions of claims while the insurer can adapt the premiums in response. A generalized Gerber-type inequality for the vector of ruin probabilities is proven showing that the risk-switching models allow sophisticated mathematical results in spite of their complexity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 129, October 2017, Pages 236-240
Journal: Statistics & Probability Letters - Volume 129, October 2017, Pages 236-240
نویسندگان
LesÅaw Gajek, Marcin Rudź,