Resumo

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.

Palavras-chave : Coupling; Markov chains; Semi-Markov process; Simulation; Stochastic ordering.

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