Level-crossing properties of the risk process
DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Stadje, W | |
dc.date.accessioned | 2021-12-23T16:04:31Z | - |
dc.date.available | 2021-12-23T16:04:31Z | - |
dc.date.issued | 1998 | |
dc.identifier.issn | 0364765X | |
dc.identifier.uri | https://osnascholar.ub.uni-osnabrueck.de/handle/unios/6463 | - |
dc.description.abstract | For the classical risk process R(t) that is linear increasing with slope 1 between downward jumps of i.i.d. random sizes at the points of a homogeneous Poisson process we consider the level-crossing process C(x) = (L(x), (Ai(x), B-i (x))(1 less than or equal to i less than or equal to L(x))), where L(x) is the number of jumps from (X, infinity) to (-infinity, x) and A(i)(x) (B-i(x)) are the distances from x to R(t) after (before) the i th jump of this kind. It is shown that if R() has a drift toward infinity, C() is a stationary Markov process; its transition probabilities are determined. As an application we derive the expected value E(L(x)L(x y)). | |
dc.language.iso | en | |
dc.publisher | INST OPERATIONS RESEARCH MANAGEMENT SCIENCES | |
dc.relation.ispartof | MATHEMATICS OF OPERATIONS RESEARCH | |
dc.subject | Mathematics | |
dc.subject | Mathematics, Applied | |
dc.subject | Operations Research & Management Science | |
dc.subject | risk process | |
dc.subject | stationary Markov process | |
dc.title | Level-crossing properties of the risk process | |
dc.type | journal article | |
dc.identifier.doi | 10.1287/moor.23.3.576 | |
dc.identifier.isi | ISI:000078441200004 | |
dc.description.volume | 23 | |
dc.description.issue | 3 | |
dc.description.startpage | 576 | |
dc.description.endpage | 584 | |
dc.publisher.place | 901 ELKRIDGE LANDING RD, STE 400, LINTHICUM HTS, MD 21090-2909 USA | |
dcterms.isPartOf.abbreviation | Math. Oper. Res. | |
crisitem.author.dept | FB 06 - Mathematik/Informatik | - |
crisitem.author.deptid | fb06 | - |
crisitem.author.parentorg | Universität Osnabrück | - |
crisitem.author.netid | StWo325 | - |
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geprüft am 07.06.2024