Publication: An Application of Semi-Markovian Models to the Ruin Problem
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2011-12
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Universidad Nacional de Colombia
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Abstract
We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed.