On the extremes of surplus process in compound binomial model

MaRDI QIDQ4914922zbMATH OpenFDO

Authors Altan Tuncel, Fatih Tank, Serkan Eryilmaz

Publication date 15 April 2013

zbMATH Keywords

compound binomial modelextremal theoryrecurrence formulasurplus process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(4)

• On distributions of runs in the compound binomial risk model
• Some results on the extreme distributions of surplus process with nonhomogeneous claim occurrences
• A surplus process involving a compound Poisson counting process and applications
• The joint distributions of some extremums on geometric Brownian motion

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