Discounted probabilities and ruin theory in the compound binomial model

DOI10.1016/S0167-6687(99)00053-0zbMath1013.91063OpenAlexW2059784050MaRDI QIDQ1584519

Elias S. W. Shiu, Shixue Cheng, Hans U. Gerber

Publication date: 18 February 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00053-0

zbMATH Keywords

ruin probabilityrisk theorycompound binomial model

Mathematics Subject Classification ID

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Cites Work

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• Ruin probabilities in the compound binomial model
• On the distribution of the surplus prior to ruin
• The moments of ruin time in the classical risk model with discrete claim size distribution
• From ruin theory to pricing reset guarantees and perpetual put options
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Classical numerical ruin probabilities
• On the Time Value of Ruin
• Pricing Perpetual Options for Jump Processes

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