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

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

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 6173933 (Why is no real title available?)
• Discounted probabilities and ruin theory in the compound binomial model
• How long is the surplus below zero?
• Joint distributions of some ruin related quantities in the compound binomial risk model
• Markov chains and stochastic stability
• On the distribution of duration of first negative surplus for a discrete time risk model with random interest rate
• On the moments of ruin and recovery times
• Ruin Probabilities in the Compound Markov Binomial Model
• Ruin probabilities in the compound binomial model
• The Omega model: from bankruptcy to occupation times in the red
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• The finite-time ruin probability under the compound binomial risk model
• Total duration of negative surplus for a Brownian motion risk model with interest
• Total duration of negative surplus for the dual model
• Total duration of negative surplus for the risk model with debit interest

Cited in

(1)

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

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