Displaying similar documents to “The Pólya-Aeppli process and ruin problems.”

On the probability of reaching a barrier in an Erlang(2) risk process.

M. Mercè Claramunt, M. Teresa Mármol, Ramón Lacayo (2005)

SORT

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In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interocurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of...

Beliefs about beliefs, a theory for stochastic assessment of subjective probabilities.

James M. Dickey (1980)

Trabajos de Estadística e Investigación Operativa

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Parameterized families of subjective probability distributions can be used to great advantage to model beliefs of experts, especially when such models include dependence on concomitant variables. In one such model, probabilities of simple events can be expressed in loglinear form. In another, a generalization of the multivariate t distribution has concomitant variables entering linearly through the location vector. Interactive interview methods for assessing this second model and matrix...