Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
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Date
2017
Authors
Eryilmaz, Serkan
Gebizlioğlu, Ömer Lütfi
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science
Open Access Color
HYBRID
Green Open Access
Yes
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No
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Top 10%
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Average
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Top 10%
Abstract
In this paper we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular we obtain expressions for the finite time non-ruin probability and the joint distribution of the time to ruin the surplus immediately before ruin and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.
Description
Keywords
Compound binomial model, Dependence, Exchangeability, Ruin theory, Exchangeability, Ruin theory, Compound binomial model, Dependence, Applications of statistics to actuarial sciences and financial mathematics, ruin theory, Markov binomial model, compound binomial model, dependence, discrete time risk model, exchangeability, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), Risk theory, insurance, non-ruin probability
Turkish CoHE Thesis Center URL
Fields of Science
0101 mathematics, 01 natural sciences
Citation
WoS Q
Q1
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Q2
OpenCitations Citation Count
10
Source
Journal of Computational and Applied Mathematics
Volume
313
Issue
Start Page
235
End Page
242
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CrossRef : 9
Scopus : 6
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2
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171
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