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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2008, том 14(30), выпуск 1, страницы 49–59 (Mi thsp128)

On some characteristics of the claim surplus process

Dmytro Gusak

Institute of Mathematics, Nat.Acad. Sci. of Ukraine, Kyiv

Аннотация: The distribution of characteristics, which describes the behaviour of the claim surplus process after the ruin, is investigated and compared with some previous results on distributions of risk functionals. Main attention is given to total durations of a sojourn time for risk processes in a risk (red) zone and in a survival (green) zone.

Ключевые слова: Claim surplus process, risk reserve process; sojourn time in red zone and in survival zone; multivariate and marginal ruin functions.

MSC: Primary 60G50; Secondary 60K10

Язык публикации: английский



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