Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model

DOI10.1007/S10255-011-0040-7MaRDI QIDQ628628zbMATH OpenOpenAlexFDO

Authors Xianmin Geng, Shu-Chen Wan

Publication date 14 March 2011

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-011-0040-7

zbMATH Keywords

compound negative binomial modeljoint distributionsruin probabilitysequence of up-crossing zero pointsultimately leaving deficit time

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Review text

From the author's abstract: The compound negative binomial model, introduced in this paper, is a discrete time version. We discuss the Markov properties of the surplus process, and study the ruin probability and the joint distributions of actuarial random vectors in this model. By the strong Markov property and the mass function of a defective renewal sequence, we obtain the explicit expressions of the ruin probability, the finite-horizon ruin probability, the joint distributions of \(T\), \(U(T - 1)\), \(|U(T)|\) and \(\inf_{0 \leqslant n < \tau_1} U(n)\) (i.e., the time of ruin, the surplus immediately before ruin, the deficit at ruin and maximal deficit from ruin to recovery) and the distributions of some actuarial random vectors.

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Cites work

• Error bounds for the compound Poisson approximation
• Heterogeneous INAR(1) model with application to car insurance
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• Joint distributions of some actuarial random vectors containing the time of ruin
• Joint distributions of some actuarial random vectors in the compound binomial model
• Strategies for computation of compound distributions with two-sided severities
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(3)

• Joint distributions of some actuarial random vectors in the continuous-time compound binomial model
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• Joint distributions of some actuarial random vectors in the compound binomial model

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