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Cramer-Lundberg model for some classes of extremal Markov sequences. (arXiv:1901.05701v1 [math.PR])
来源于:arXiv
We consider here the Cramer-Lundberg model based on generalized convolutions.
In our model the insurance company invests at least part of its money, have
employees, shareholders. The financial situation of the company after paying
claims can be even better than before. We compute the ruin probability for
$\alpha$-convolution case, maximal convolution and the Kendall convolution
case, which is formulated in the Williamson transform terms. We also give some
new results on the Kendall random walks. 查看全文>>