masterThesis
Teoria da Ruína em um Modelo de Markov com dois Estados
Fecha
2010-03-19Autor
Silva, Carlos Alexandre Gomes da
Resumen
In this work, we present a risk theory application in the following scenario: In each period of time we have a change in the capital of the ensurance company and the outcome of a two-state Markov chain stabilishs if the company pays a benece it heat to one of its policyholders or it receives a Hightimes c > 0 paid by someone buying a new policy. At the end we will determine once again by the recursive equation for expectation the time ruin for this company