Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences

DOI10.1016/J.CAM.2016.09.025zbMath1353.62113OpenAlexW2526278148MaRDI QIDQ344268

Omer L. Gebizlioglu, Serkan N. Eryılmaz

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.025

zbMATH Keywords

exchangeabilityruin theorydependencediscrete time risk modelcompound binomial modelMarkov binomial modelnon-ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (4)

On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences ⋮ On the upper bounds for the degree deviation of graphs ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ On bivariate compound sums

Cites Work

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