This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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74
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Type:
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Contributed
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Date/Time:
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Sunday, August 1, 2010 : 4:00 PM to 5:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #308482 |
Title:
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Stochastic Hybrid System
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Author(s):
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Daniel Siu*+
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Companies:
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University of South Florida
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Address:
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8617 Carley Sound Cir, Tampa, FL, 33647,
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Keywords:
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Abstract:
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We first introduce the classical renewal model and its special case, the Cramer-Lundberg model. Moreover, the extension of this model is also outlined. The properties of the Cramer-Lundberg model is discussed, namely the expected value of the surplus at time t, its ruin probability and determination of the initial capital. The renewal model is then re-formulated into a dynamic system. The role and scope of the dynamic system are explored.
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Authors who are presenting talks have a * after their name.
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