混合调和稳定逆从属项的风险过程:分析与综合

IF 0.3 Q4 STATISTICS & PROBABILITY
T. Kadankova, Wing Chun Vincent Ng
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引用次数: 0

摘要

摘要本文提出了两个分数风险模型,其中经典风险过程是由调和稳定逆从属变量混合时变的。推导了风险过程的边际分布,建立了风险过程的矩和协方差结构。我们研究了这些模型的主要特征,如破产概率和破产时间,并用蒙特卡罗模拟来说明结果。数据表明,破产时间可以用反高斯分布及其广义化来近似。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Risk process with mixture of tempered stable inverse subordinators: Analysis and synthesis
Abstract We propose two fractional risk models, where the classical risk process is time-changed by the mixture of tempered stable inverse subordinators. We characterize the risk processes by deriving the marginal distributions and establish the moments and covariance structure. We study the main characteristics of these models such as ruin probability and time to ruin and illustrate the results with Monte Carlo simulations. The data suggest that the ruin time can be approximated by the inverse gaussian distribution and its generalizations.
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来源期刊
Random Operators and Stochastic Equations
Random Operators and Stochastic Equations STATISTICS & PROBABILITY-
CiteScore
0.60
自引率
25.00%
发文量
24
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