The finite-time ruin probability under the compound binomial risk model

DOI10.1007/s13385-013-0063-yzbMath1277.91090OpenAlexW2162054950MaRDI QIDQ362055

Shuanming Li, Kristina P. Sendova

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/282629

zbMATH Keywords

generating functionduration of negative surplusfirst hitting timefinite-time ruin probabilitygeneralized Lundberg's equationcompound binomial risk model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (10)

Parisian ruin for the dual risk process in discrete-time ⋮ Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Unnamed Item ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ Joint Distributions of Some Ruin Related Quantities in the Compound Binomial Risk Model ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Reliability of a Discrete-Time System with Investment ⋮ Moments of deficit duration and its proportion in general compound binomial model

Cites Work

• Unnamed Item
• Ruin probabilities in the compound binomial model
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• Compound binomial risk model in a Markovian environment
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Discounted probabilities and ruin theory in the compound binomial model
• How long is the surplus below zero?
• Ruin problems in a discrete Markov risk model
• Some results on the compound Markov binomial model
• On a class of discrete time renewal risk models
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Ruin Probabilities in the Compound Markov Binomial Model
• The Density of the Time to Ruin in the Classical Poisson Risk Model

This page was built for publication: The finite-time ruin probability under the compound binomial risk model