Biblioteca Digital de VanguardiaInterpolation of failure probability with phase type claims, using Newton polynomials
This article presents the manner to obtain explicit formulas under specific conditions, or using Newton polynomial interpolation, in continuous time, to approximate the probability of failure in the case of risk within the framework of a collective risk model when the amounts of the claims have a dis...
| Autores principales: | , , |
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| Formato: | Revistas |
| Lenguaje: | Español |
| Publicado: |
Universidad de Cartagena
2013
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| Acceso en línea: | https://revistas.unicartagena.edu.co/index.php/panoramaeconomico/article/view/816 |
| _version_ | 1782340384792248320 |
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| author | Rojas-Sevilla, Sandra Salcedo-García, Leider Zuluaga-Díaz, Francisco |
| author_facet | Rojas-Sevilla, Sandra Salcedo-García, Leider Zuluaga-Díaz, Francisco |
| author_sort | Rojas-Sevilla, Sandra |
| collection | Revista |
| description | This article presents the manner to obtain explicit formulas under specific conditions, or using Newton polynomial interpolation, in continuous time, to approximate the probability of failure in the case of risk within the framework of a collective risk model when the amounts of the claims have a distribution of phase type. |
| format | Revistas |
| id | oai:revistas.unicartagena.edu.co:article-816 |
| institution | Revista Panorama Económico |
| language | Español |
| publishDate | 2013 |
| publisher | Universidad de Cartagena |
| record_format | ojs |
| spelling | oai:revistas.unicartagena.edu.co:article-8162020-04-16T09:29:21Z Interpolation of failure probability with phase type claims, using Newton polynomials Interpolación de la probabilidad de ruina con reclamaciones tipo fase, usando polinomios de Newton Rojas-Sevilla, Sandra Salcedo-García, Leider Zuluaga-Díaz, Francisco probability of failure distributions of phase type Newton polynomial interpolator stochastic process risk probabilidad de ruina distribuciones tipo fase polinomio interpolador proceso estocástico proceso de riesgo This article presents the manner to obtain explicit formulas under specific conditions, or using Newton polynomial interpolation, in continuous time, to approximate the probability of failure in the case of risk within the framework of a collective risk model when the amounts of the claims have a distribution of phase type. En este artículo se presenta la manera de obtener fórmulas explícitas bajo condiciones especiales o por medio de polinomios interpoladores de Newton para aproximar la Probabilidad de Ruina en el caso de riesgo a tiempo continuo en el marco de un Modelo de Riesgo Colectivo cuando los montos de las reclamaciones tienen una distribución de Tipo Fase. Universidad de Cartagena 2013-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.unicartagena.edu.co/index.php/panoramaeconomico/article/view/816 10.32997/2463-0470-vol.21-num.0-2013-816 Panorama Económico Journal; Vol. 21 (2013); 131 - 144 Panorama Económico; Vol. 21 (2013); 131 - 144 Panorama Económico; v. 21 (2013); 131 - 144 2463-0470 0122-8900 10.32997/2463-0470-vol.21-num.0-2013 spa https://revistas.unicartagena.edu.co/index.php/panoramaeconomico/article/view/816/758 /*ref*/Asmussen, S., & Albrecher, H. (2010). Ruin probabilities. Singapur: World Scientific Publishing Co. Pte. Ltd. /*ref*/Asmussen, S., & Rolski, T. (January de 1992). Computational methods in risk theory: A matrix-algorithmic approach. Insurance: Mathematics and Economics, 10(4), 259-274. doi:10.1016/0167-6687(92)90058-J /*ref*/Bladt, M. (May de 2005). A review on phase-type distributions and their use in risk theory. ASTIN Bulletin, 35(01), 145-161. doi:10.1017/S0515036100014100 /*ref*/Bladta, M., & Bo Friis, N. (2010). Lecture notes on phase-type distributions. /*ref*/Dickson, D. (2005). Insurance risk and ruin. London: Cambridge University Press. /*ref*/Dickson, D., & Hipp, C. (July de 1998). Ruin probabilities for Erlang (2) risk processes. Insurance: Mathematics and Economics, 22(3), 251-262. doi:10.1016/S0167-6687(98)000031 /*ref*/Drekic, S., & Willmot, G. (2005). On the moments of the time of ruin with applications to phase-type claims. North American Actuarial Journal, 9(2), 17-30. doi:10.1080/10920277.2 005.10596195 /*ref*/Escalante, C., & Arango, G. (Diciembre de 2004). Aspectos básicos del modelo de riesgo colectivo. Matemáticas Enseñanza Universitaria, XII(2), 3-15. Obtenido de http://revistaerm.univalle.edu.co/VolXIIN2/escalante.pdf /*ref*/Mathews, J., & Fink, K. (2000). Métodos numéricos con MATLAB. Madrid: PRENTICE HALL. /*ref*/Rincón, L. (2012). Introducción a la teoría del riesgo. México D. F.: Departamento de Matemática Universidad Nacional Autónoma de México. /*ref*/Tse, Y. K. (2009). Nonlife actuarial models: Theory, methods and evaluation. London: Cambridge University Press. Derechos de autor 2013 Panorama Económico |
| spellingShingle | Rojas-Sevilla, Sandra Salcedo-García, Leider Zuluaga-Díaz, Francisco Interpolation of failure probability with phase type claims, using Newton polynomials |
| title | Interpolation of failure probability with phase type claims, using Newton polynomials |
| title_full | Interpolation of failure probability with phase type claims, using Newton polynomials |
| title_fullStr | Interpolation of failure probability with phase type claims, using Newton polynomials |
| title_full_unstemmed | Interpolation of failure probability with phase type claims, using Newton polynomials |
| title_short | Interpolation of failure probability with phase type claims, using Newton polynomials |
| title_sort | interpolation of failure probability with phase type claims, using newton polynomials |
| url | https://revistas.unicartagena.edu.co/index.php/panoramaeconomico/article/view/816 |