Services on Demand
Journal
Article
English (pdf)
Article in xml format
Article references
Automatic translation
Send this article by e-mailIndicators
Cited by SciELO 
Access statistics
Related links
Cited by Google 
Similars in
SciELO 
Similars in Google
Share
Permalink
Revista Colombiana de Estadística
Print version ISSN 0120-1751
Abstract
ALMARAZ-LUENGO, ELENA. An Application of Semi-Markovian Models to the Ruin Problem. Rev.Colomb.Estad. [online]. 2011, vol.34, n.3, pp.477-495. ISSN 0120-1751.
We consider the classical ruin problem due to Cramer 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.
Keywords : Coupling; Markov chains; Semi-Markov process; Simulation; Stochastic ordering.
