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Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...