A multidimensional ruin problem
Copyright policy )A multidimensional ruin problem
Summary: We consider the ruin problem for an insurance network modelled in terms of the Skorokhod problem in an orthant, where the interaction among the companies is only through the risk reducing treaty. In the case of a Cramer-Lundberg type network, we indicate a connection between the ruin probability and boundary value problems for the infinitesimal generator \(L\); here \(L\) is a first order integro-partial differential operator.
Integro-partial differential equations, Applications of Markov renewal processes (reliability, queueing networks, etc.), Risk theory, insurance, PDEs with randomness, stochastic partial differential equations, Jump processes, Stochastic integral equations
Integro-partial differential equations, Applications of Markov renewal processes (reliability, queueing networks, etc.), Risk theory, insurance, PDEs with randomness, stochastic partial differential equations, Jump processes, Stochastic integral equations
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!