The compound binomial model with randomized decisions on paying dividends

DOI10.1016/j.insmatheco.2006.01.001zbMath1147.91349OpenAlexW2088684458MaRDI QIDQ2507603

Ji Yang Tan, Xiang-Qun Yang

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.01.001

zbMATH Keywords

asymptotic estimateruin probabilityrecursion formulaedividenddiscrete renewal equationcompound binomial process

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites Work

• Ruin probabilities in the compound binomial model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Discounted probabilities and ruin theory in the compound binomial model
• Ruin probabilities and penalty functions with stochastic rates of interest
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