Moments of deficit duration and its proportion in general compound binomial model

DOI10.1016/J.RINAM.2022.100326MaRDI QIDQ2104152zbMATH OpenOpenAlexFDO

Authors Miaomiao Hu, Jiyang Tan

Publication date 9 December 2022

Published in Results in Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.rinam.2022.100326

zbMATH Keywords

compound binomial modeldeficit duration

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Review text

The authors discuss the deficit (negative surplus) duration in the general compound binomial model and derive recursive formulas of \(r\)-th moments of the deficit duration and its proportion in finite time with and without a dividend barrier. Under the condition of positive safety loading, they consider the limit of deficit duration and show the convergence of moments of its proportion. In addition, the paper also discusses a sort of reinsurance strategy to significantly reduce the deficit duration. The proposed algorithms and reinsurance strategy are effective and are illustrated by numerical examples.

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Cites work

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Cited in

(1)

• The bankruptcy deficit of compound binomial risk model with constant disturbance

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