Zobrazeno 1 - 10
of 5 562
pro vyhledávání: '"Time of ruin"'
Autor:
Dickson, David C.M.1 (AUTHOR) dcmd@unimelb.edu.au
Publikováno v:
Annals of Actuarial Science. Mar2023, Vol. 17 Issue 1, p63-82. 20p.
Autor:
Frostig, Esther
Publikováno v:
Advances in Applied Probability, 2004 Jun 01. 36(2), 377-397.
Externí odkaz:
https://www.jstor.org/stable/1428458
Autor:
Jacobsen, Martin
Publikováno v:
Advances in Applied Probability, 2005 Dec 01. 37(4), 963-992.
Externí odkaz:
https://www.jstor.org/stable/30037369
Autor:
ERNST, PHILIP A., GRIGORESCU, ILIE
Publikováno v:
Advances in Applied Probability, 2017 Jun 01. 49(2), 388-410.
Externí odkaz:
https://www.jstor.org/stable/44985382
Autor:
Lee, Wing Yan1 (AUTHOR) wy8lee@uwaterloo.ca, Willmot, Gordon E.1 (AUTHOR)
Publikováno v:
Scandinavian Actuarial Journal. Aug2016, Vol. 2016 Issue 6, p550-564. 15p.
Autor:
Nyrhinen, Harri
Publikováno v:
Journal of Applied Probability, 1999 Sep 01. 36(3), 733-746.
Externí odkaz:
https://www.jstor.org/stable/3215437
Autor:
GRIGORESCU, ILIE, YAO, YI-CHING
Publikováno v:
Advances in Applied Probability, 2016 Jun 01. 48(2), 610-630.
Externí odkaz:
http://www.jstor.org/stable/43860109
Publikováno v:
In Applied Mathematics and Computation 1 July 2019 352:119-135
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de Finetti's problem
Externí odkaz:
http://arxiv.org/abs/1608.02550
Autor:
Ernst, Philip, Grigorescu, Ilie
Publikováno v:
Advances in Applied Probability (2017), 49(2)
We consider two players, starting with $m$ and $n$ units, respectively. In each round, the winner is decided with probability proportional to each player's fortune, and the opponent loses one unit. We prove an explicit formula for the probability $p(
Externí odkaz:
http://arxiv.org/abs/1607.07636