J. Villarroel Rodríguez, J. A. Vega Coso, J. A. Vega Coso

En el presente trabajo analizamos la probabilidad de escape de un cierto intervalo [0,b] y de ruina en los procesos de renovación compuestos. Previamente deduciremos las ecuaciones integrales e integro-diferenciales que satisface la probabilidad de escape, analizando diferentes casos para a partir de esas ecuaciones deducir la probabilidad de ruina y supervivencia.

Keywords: Procesos de renovación compuestos, probabilidad de ruina, probabilidad de escape, Sparre Andersen, ecuaciones integrales, ecuaciones integro-diferenciales


GT17-1 Stochastic Processes and their Applications
September 3, 2019  3:30 PM
I3L9. Georgina Blanes building

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