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

MaRDI QIDQ2916213zbMATH OpenFDO

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)

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)

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Cited in

(6)

• 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
• The Gerber-Shiu penalty function for the compound binomial model with general premium rate
• The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims
• 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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