Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/111228
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Claramunt Bielsa, M. Mercè | - |
dc.contributor.author | Mármol, Maite | - |
dc.contributor.author | Lacayo, Ramón | - |
dc.date.accessioned | 2017-05-18T10:24:33Z | - |
dc.date.available | 2017-05-18T10:24:33Z | - |
dc.date.issued | 2005 | - |
dc.identifier.issn | 1696-2281 | - |
dc.identifier.uri | http://hdl.handle.net/2445/111228 | - |
dc.description.abstract | In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of interoccurrence time between claims distributed as Erlang(2, β) and the individual claim amount as Erlang (n, γ). | - |
dc.format.extent | 14 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Institut d'Estadística de Catalunya | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.raco.cat/index.php/SORT/article/view/28886 | - |
dc.relation.ispartof | Sort (Statistics and Operations Research Transactions), 2005, vol. 29, num. 2, p. 235-248 | - |
dc.rights | cc-by-nc-nd (c) Claramunt Bielsa, M. Mercè et al., 2005 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Equacions diferencials | - |
dc.subject.classification | Assegurances | - |
dc.subject.other | Risk | - |
dc.subject.other | Differential equations | - |
dc.subject.other | Insurance | - |
dc.title | On the probability of reaching a barrier in an Erlang(2) risk process. | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 527480 | - |
dc.date.updated | 2017-05-18T10:24:33Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
527480.pdf | 126.32 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License