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

DOI10.1007/S10255-011-0040-7zbMATH Open1211.91149OpenAlexW2074756013MaRDI QIDQ628628FDOQ628628

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

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zbMATH Keywords

ruin probabilityjoint distributionscompound negative binomial modelsequence 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)

Cites Work

• Title not available (Why is that?)
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Joint distributions of some actuarial random vectors in the compound binomial model
• Joint distributions of some actuarial random vectors containing the time of ruin
• Error bounds for the compound Poisson approximation
• Heterogeneous INAR(1) model with application to car insurance
• Strategies for computation of compound distributions with two-sided severities

Cited In (3)

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

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