Bridges with Random Length: Gamma Case
Author
Abstract
Suggested Citation
DOI: 10.1007/s10959-019-00955-4
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hoyle, Edward & Mengütürk, Levent Ali, 2013. "Archimedean survival processes," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 1-15.
- Dufresne, François & Gerber, Hans U. & Shiu, Elias S. W., 1991. "Risk Theory with the Gamma Process," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 177-192, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- E. W. S. Kam & R. C. K. Leung & R. M. C. So & X. M. Li, 2007. "A Lattice Boltzmann Method For Computation Of Aeroacoustic Interaction," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 463-472.
- Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean, 2008.
"On the link between credibility and frequency premium,"
Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 209-213, October.
- Jean Pinquet & Guillén Montserrat & Catalina Bolancé, 2007. "On the link between credibility and frequency premium," Working Papers hal-00243063, HAL.
- Jean Pinquet & Montserrat Guillén & Catalina Bolancé, 2008. "On the link between credibility and frequency premium," Post-Print hal-00361645, HAL.
- Zied Ben-Salah & H'el`ene Gu'erin & Manuel Morales & Hassan Omidi Firouzi, 2014. "On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory," Papers 1406.6952, arXiv.org.
- Loeffen, R.L., 2009. "An optimal dividends problem with transaction costs for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 41-48, August.
- Luis Rincón & David J. Santana, 2022. "Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2213-2236, September.
- Başak Bulut Karageyik & Şule Şahin, 2016. "Optimal Retention Level for Infinite Time Horizons under MADM," Risks, MDPI, vol. 5(1), pages 1-24, December.
- Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.
- Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka, 2013. "Finite-time survival probability and credit default swaps pricing under geometric Lévy markets," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 14-23.
- Femminis Gianluca & Martini Gianmaria, 2010.
"First-Mover Advantage in a Dynamic Duopoly with Spillover,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-46, November.
- Gianluca Femminis & Gianmaria Martini, 2009. "First mover advantage in a dynamic duopoly with spillover," DISCE - Quaderni dell'Istituto di Teoria Economica e Metodi Quantitativi itemq0955, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Maxim Finkelstein & Ji Hwan Cha, 2021. "On degradation-based imperfect repair and induced generalized renewal processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 1026-1045, December.
- Bohan Li & Junyi Guo, 2021. "Optimal Investment and Reinsurance Under the Gamma Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 893-923, September.
- Pradeep Agrawal & Sahoo Pravakar & Ranjan Kumar Dash, 2010. "Savings Behavior In India: Co-Integration And Causality Evidence," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(02), pages 273-295.
- Lee, Wing Yan & Li, Xiaolong & Liu, Fangda & Shi, Yifan & Yam, Sheung Chi Phillip, 2021. "A Fourier-cosine method for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 256-267.
- Gajda, J. & Wyłomańska, A. & Kumar, A., 2017. "Generalized fractional Laplace motion," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 101-109.
- Frenk, J.B.G. & Nicolai, R.P., 2007.
"Approximating the randomized hitting time distribution of a non-stationary gamma process,"
Econometric Institute Research Papers
EI 2007-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Frenk, J.B.G. & Nicolai, R.P., 2007. "Approximating the Randomized Hitting Time Distribution of a Non-stationary Gamma Process," ERIM Report Series Research in Management ERS-2007-031-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- van Noortwijk, J.M. & van der Weide, J.A.M. & Kallen, M.J. & Pandey, M.D., 2007. "Gamma processes and peaks-over-threshold distributions for time-dependent reliability," Reliability Engineering and System Safety, Elsevier, vol. 92(12), pages 1651-1658.
- van Noortwijk, J.M., 2009. "A survey of the application of gamma processes in maintenance," Reliability Engineering and System Safety, Elsevier, vol. 94(1), pages 2-21.
- Edward Hoyle & Levent Ali Menguturk, 2020. "Generalised Liouville Processes and their Properties," Papers 2003.11312, arXiv.org, revised May 2020.
- Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
- Mengütürk, Levent Ali, 2018. "Gaussian random bridges and a geometric model for information equilibrium," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 465-483.
More about this item
Keywords
Lévy processes; Gamma processes; Gamma bridges; Markov process; Bayes theorem;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:33:y:2020:i:2:d:10.1007_s10959-019-00955-4. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.