Ruin probabilities for time-correlated claims in the compound binomial model. (Q1413282)

From MaRDI portal
Revision as of 09:54, 30 July 2024 by Openalex240730090724 (talk | contribs) (Set OpenAlex properties.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Ruin probabilities for time-correlated claims in the compound binomial model.
scientific article

    Statements

    Ruin probabilities for time-correlated claims in the compound binomial model. (English)
    0 references
    16 November 2003
    0 references
    The paper deals with the ruin probabilities for time-correlated claims in the compound binomial model. Such model is considered in the presence of two classes of correlated risks: every main claim will produce a by-claim, but the occurence of the by-claim may be delayed. This model can be applied to some catastrophic events, as earthquakes, or, within another context, it is useful when the induced claim may be treated as a random portion of the total claims. If the premium rate is unitary per period, the surplus process at time \(k\) is given by \[ S_k=u+k-U_K^X-U_k^Y,\;k=0,1,\ldots \] where \(u(\geq 0)\) is the initial surplus, \(U_K^X\) and \(U_k^Y\) are, respectively, the total amount of main claims and the total amount of by-claims in the first \(k\) time period. Then the finite-time survival probability is defined as \[ \Phi (u,k)=Pr(S_j\geq 0; \;j=0,1,\ldots,k), \] while the finite-time ruin probability is \(\psi (u,k)=1-\phi (u,k)\). The authors provide recursive formulas for the finite-time ruin probabilities and explicit expressions for the ultimate ruin probabilities in some special cases.
    0 references
    by-claim
    0 references
    compound binomial
    0 references
    gambler's ruin
    0 references
    ruin probability
    0 references
    generating function
    0 references
    0 references
    0 references

    Identifiers