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Description
  • Složené bodové procesy jsou procesy náhodných přírůstků v náhodných časech. Jejich model je složen z intenzity náhodných časů a distribuce přírůstků a je často používán v pojistné matematice. Je zajímavý především z hlediska predikce rizika a pravděpodobnosti ruinování. V příspěvku uvažujeme složený proces jako dvourozměrný bodový proces a modelujeme jeho intenzitu v ploše (cs)
  • The paper deals with random sums composed from random increments occurring at random moments. Resulting process is given by the intensity of random time moments (e.g. of the Poisson process) and by the distribution of increments. These processes are commonly used in insurance mathematics and connected areas for evaluation of risk processes and ruin probabilities. In the present paper we propose a model considering the compound process as a two-dimensional random process and model its joint intensity.
  • The paper deals with random sums composed from random increments occurring at random moments. Resulting process is given by the intensity of random time moments (e.g. of the Poisson process) and by the distribution of increments. These processes are commonly used in insurance mathematics and connected areas for evaluation of risk processes and ruin probabilities. In the present paper we propose a model considering the compound process as a two-dimensional random process and model its joint intensity. (en)
Title
  • On random sums and compound process model in financial mathematics
  • On random sums and compound process model in financial mathematics (en)
  • O náhodných součtech a složených bodových procesech ve finanční matematice (cs)
skos:prefLabel
  • On random sums and compound process model in financial mathematics
  • On random sums and compound process model in financial mathematics (en)
  • O náhodných součtech a složených bodových procesech ve finanční matematice (cs)
skos:notation
  • RIV/67985556:_____/04:00106252!RIV/2005/GA0/A16005/N
http://linked.open.../vavai/riv/strany
  • 403;410
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/01/0539), Z(AV0Z1075907)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 577797
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/04:00106252
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • compound process;hazard rate;statistical inference (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [7B195B1A29AC]
http://linked.open...v/mistoKonaniAkce
  • Heidelberg
http://linked.open...i/riv/mistoVydani
  • Heidelberg
http://linked.open...i/riv/nazevZdroje
  • Operations Research Proceedings 2003
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Volf, Petr
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Springer-Verlag
https://schema.org/isbn
  • 3-540-21445-3
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