Directory UMM :Data Elmu:jurnal:I:Insurance Mathematics And Economics:Vol27.Issue2.2000:
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tation of the integral under the stochastic path of a birth±death process up to extinction time and the expected time to extinction.. Their main result is a closed form expression
These results seem to indicate that, while estimation of ruin probabilities may be more efficient using importance sampling, especially for larger values of u , this is not the
We shall consider the continuous time problem of optimal choice of new business to minimize infinite time ruin probability.. The objective function is chosen for simplicity and for
This function can be used to calculate the expected present value of a penalty that is due at ruin, and, if it is interpreted as a probability generating function, to obtain
A stochastic cash management system is studied in which the cash flow is modeled by the superposition of a Brownian motion with drift and a compound Poisson process with positive
The issue is the relationship between the over-dispersed Poisson (ODP) model of Renshaw and Verrall (1998), the distribution-free stochastic model (DFCL) of Mack (1993) and
The effect of migrating individuals on harvest is twofold: a migration effect captures the possibility for ‘steering’ net migration flows toward the more valuable local
is the leading cause of food insecurity for most developing countries, including those that are dietary energy surplus , many countries also have problems related to national
