SWITCH TIME FAMILY OF DISTRIBUTIONS AND PROCESSES AND THEIR APPLICATIONS TO REFLECTED SURPLUS MODELS

Pavel Stoynov ()
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Pavel Stoynov: Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2016, vol. 14, issue 1, 255-285

Abstract: A family of probability distributions called switch time family distributions and the corresponding switch time processes are introduced and simulated. Application to some reflected surplus models are presented.

Keywords: additive processes; parameterization; switch time family distributions and processes; simulation; surplus processes; reflected surplus processes; budget restriction (search for similar items in EconPapers)
Date: 2016
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