A note on the ruin problem for a class of stochastic processes with interchangeable increments
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Published:1972-12
Issue:1
Volume:7
Page:81-89
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ISSN:0515-0361
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Container-title:ASTIN Bulletin
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language:en
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Short-container-title:ASTIN Bull.
Author:
Grandell Jan,Peiram Lars
Abstract
SummaryModels for the risk business of an insurance company are often constructed by weighting pure Poisson models. In this paper it is verified that it is possible to calculate the probability of ruin in such weighted models by weighting ruin probabilities of pure Poisson models.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference5 articles.
1. Austauschbare stochastische Variabeln und ihre Grenzwertsätze;Bühlmann;Univ. of Cal. Publ. in Stat.,1960
Cited by
2 articles.
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