离散时间风险过程中作为复发序列的毁灭概率

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-08-20 DOI:10.1007/s11009-024-10102-0

Ernesto Cruz, Luis Rincón, David J. Santana

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引用次数: 0

摘要

应用线性递推序列理论得到了离散时间风险过程中最终毁灭概率的明确公式。假设索赔分布是任意的，但有有限的支持（\varvec\{0,1,\ldots ,m+1\}}），对于某个整数（\varvec{m\ge 1}\）。该方法需要找到 m 度多项式的零点，并求解 m 个线性方程组。该方法得出了一个近似值，并提供了一些数值结果和图例。

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Ruin Probabilities as Recurrence Sequences in a Discrete-Time Risk Process

The theory of linear recurrence sequences is applied to obtain an explicit formula for the ultimate ruin probability in a discrete-time risk process. It is assumed that the claims distribution is arbitrary but has finite support \(\varvec{\{0,1,\ldots ,m+1\}}\), for some integer \(\varvec{m\ge 1}\). The method requires finding the zeroes of an m degree polynomial and solving a system of m linear equations. An approximation is derived and some numerical results and plots are provided as examples.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.