The severity of ruin in a discrete semi-Markov risk model

被引：15

作者：

Reinhard, JM ^{[1
]}

Snoussi, M ^{[1
]}

机构：

[1] Free Univ Brussels, B-1050 Brussels, Belgium

来源：

STOCHASTIC MODELS | 2002年 / 18卷 / 01期

关键词：

probability of ruin; severity of ruin; recursive calculation;

D O I：

10.1081/STM-120002776

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we introduce a discrete time semi-Markov risk model. We derive a recursive system for finding the probability of ruin and the distribution of the severity of ruin in a particular case where the annual result may be positive only in years beginning in some given state.

引用

页码：85 / 107

页数：23

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[2]

ASMUSSEN S, 1989, SCAND ACTUAR J, P66

[3]

Dickson D.C.M., 1992, ASTIN BULL, V22, P177

[4] ON THE DISTRIBUTION OF THE CLAIM CAUSING RUIN [J].