Published

2011-09-01

UNA APLICACIÓN DE LOS MODELOS SEMI-MARKOVIANOS AL PROBLEMA DE LA RUINA

AN APPLICATION OF SEMI-MARKOVIAN MODELS TO THE RUIN PROBLEM

Keywords:

cadenas deMarkov, dominancia estocástica, emparejamiento, proceso semi-markovianos, simulación (es)
Coupling, Markov chains, Semi-Markov process, Simulation, Stochastic ordering (en)

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Authors

  • Elena Almaraz-Luengo Universidad Complutense de Madrid
Se considera el problema clásico de ruina de Cramér y Lundberg y se generaliza. Se estudian los tiempos hasta la ruina de los modelos considerados y se establecen condiciones suficientes para la dominancia estocástica en el sentido usual entre los tiempos de ruina. Por otro lado; se establecen algoritmos de simulación de los procesos bajo estudio y de obtención de estimadores para las probabilidades involucradas.
We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed.

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How to Cite

Almaraz-Luengo, E. (2011). AN APPLICATION OF SEMI-MARKOVIAN MODELS TO THE RUIN PROBLEM. Revista Colombiana De Estadística, 34(3), 477-495. https://revistas.unal.edu.co/index.php/estad/article/view/29963

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Copyright (c) 2011 Revista Colombiana de Estadística

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