Titre
A note on killing with applications in risk theory
Type
article
Institution
UNIL/CHUV/Unisanté + institutions partenaires
Périodique
Auteur(s)
Ivanovs, J.
Auteure/Auteur
Liens vers les personnes
Liens vers les unités
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2013
Volume
52
Numéro
1
Première page
29
Dernière page/numéro d’article
34
Peer-reviewed
Oui
Langue
anglais
Résumé
It is often natural to consider defective or killed stochastic processes. Various observations continue to hold true for this wider class of processes yielding more general results in a transparent way without additional effort. We illustrate this point with an example from risk theory by showing that the ruin probability for a defective risk process can be seen as a triple transform of various quantities of interest on the event of ruin. In particular, this observation is used to identify the triple transform in a simple way when either claims or interarrivals are exponential. We also show how to extend these results to modulated risk processes, where exponential distributions are replaced by phase-type distributions. In addition, we review and streamline some basic exit identities for defective Levy and Markov additive processes.
PID Serval
serval:BIB_9947710F504B
Date de création
2014-02-13T13:48:11.914Z
Date de création dans IRIS
2025-05-21T03:18:49Z