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An Application of Semi-Markovian Models to the Ruin Problem

Authors
Publisher
Universidad Nacional de Colombia
Publication Date
Keywords
  • Estadística Aplicada
Disciplines
  • Computer Science
  • Mathematics

Abstract

We consider the classical ruin problem due to Cramér 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.

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