Ruin probability for finite negative binomial mixture claims via recurrence sequences

DOI10.1080/03610926.2022.2087091MaRDI QIDQ6060897zbMATH OpenOpenAlexFDO

Authors Luis Rincón, David J. Santana

Publication date 29 November 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2087091

zbMATH Keywords

discrete-time risk modelnegative binomial distributionrecurrence sequencesruin probability

Mathematics Subject Classification ID

Stochastic processes (60G99) Actuarial science and mathematical finance (91G99)

Cites work

• A moment recursive formula for a class of distributions
• A review of discrete-time risk models
• Approximations of the ruin probability in a discrete time risk model
• Discounted probabilities and ruin theory in the compound binomial model
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• Insurance risk and ruin.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probability for finite Erlang mixture claims via recurrence sequences
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• The ruin probability of a discrete-time risk model with a one-sided linear claim process

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