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
{"title":"混合调和稳定逆从属项的风险过程:分析与综合","authors":"T. Kadankova, Wing Chun Vincent Ng","doi":"10.1515/rose-2022-2096","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"31 1","pages":"47 - 63"},"PeriodicalIF":0.3000,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Risk process with mixture of tempered stable inverse subordinators: Analysis and synthesis\",\"authors\":\"T. Kadankova, Wing Chun Vincent Ng\",\"doi\":\"10.1515/rose-2022-2096\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":43421,\"journal\":{\"name\":\"Random Operators and Stochastic Equations\",\"volume\":\"31 1\",\"pages\":\"47 - 63\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2023-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Random Operators and Stochastic Equations\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/rose-2022-2096\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Random Operators and Stochastic Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/rose-2022-2096","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
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
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信