Uluslararası Ticaret ve Finans Bölümü Koleksiyonu

Permanent URI for this collectionhttps://gcris.khas.edu.tr/handle/20.500.12469/67

Browse

Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by Subject "Beta-binomial distribution"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    Article
    Citation Count: 1
    The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable dependent claim occurrences
    (John Wiley and Sons Ltd, 2019) Gebizlioğlu, Ömer Lütfi; Eryilmaz, Serkan
    This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution the computation of the minimum surplus distribution is given. Asset and risk management–oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model for which claim occurrences are independent and identically distributed. © 2018 John Wiley & Sons Ltd.