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Journal of Automation and Information Sciences

Publicado 12 números por año

ISSN Imprimir: 1064-2315

ISSN En Línea: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

On Calculation of Probability of Bankruptcy for a Non-Poisson Risk Process by the Method of Successive Approximations

Volumen 37, Edición 4, 2005, pp. 48-57
DOI: 10.1615/J Automat Inf Scien.v37.i4.70
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SINOPSIS

Generalizations of the model of a classic risk process, describing evolution of capital of insurance company, associated with a non-Poisson flow of insurance claims and nonlinear capital growth, is considered. An integral equation for determination of bancruptcy probability is derived. Possibility of application of the method of successive approximations for solution of this equation is studied.

CITADO POR
  1. Bondarev B. V., Ragulina E. Yu., On the finite-time nonruin probability of an insurance company with investments in the financial (B, S)-market, Cybernetics and Systems Analysis, 48, 5, 2012. Crossref

  2. Zhou Tao, Liu Xia, Hou Muzhou, Liu Chunhui, Numerical solution for ruin probability of continuous time model based on neural network algorithm, Neurocomputing, 331, 2019. Crossref

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