The Gerber-Shiu discounted penalty function in the compound Markov binomial model

zbMATH Open1265.91084MaRDI QIDQ2916213FDOQ2916213

Authors: Shizu Fang, Peichen Zhao, Xin Sun, Chunmei Zhang 

Publication date: 5 October 2012

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

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zbMATH Keywords

dependenceruin probabilityGerber-Shiu discounted penalty functionasymptotic expressioncompound Markov binomial model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cited In (4)

• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• An asymptotic relationship of the Gerber-Shiu discount penalty function in the compound binomial risk model
• Pollazek-Khinchin formula for the ruin probability in compound binominal risk model
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences

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