کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7354857 | 1477197 | 2018 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Duality in ruin problems for ordered risk models
ترجمه فارسی عنوان
دوگانگی در مشکلات خرابکاری برای الگوهای ریسک سفارش داده شده
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
On one hand, an ordered dual risk model is considered where the profit arrivals are governed by an order statistic point process (OSPP). First, the ruin time distribution is obtained in terms of Abel-Gontcharov polynomials. Then, by duality, the ruin time distribution is deduced for an insurance model where the claim amounts correspond to the inter-arrival times in an OSPP. On the other hand, an ordered insurance model is considered with an OSPP as claim arrival process. Lefèvre and Picard (2011) determined the finite-time ruin probability in terms of Appell polynomials. Duality is used to derive the ruin probability in a dual model where the profit sizes correspond to the inter-arrival times of an OSPP.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 44-52
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 44-52
نویسندگان
Pierre-Olivier Goffard, Claude Lefèvre,