Merging of bivariate compound Binomial processes with shocks

DOI10.1063/5.0101318arXiv2106.10007MaRDI QIDQ6370645FDOQ6370645

Authors: Pavlina Jordanova, Evelina I. Veleva 

Publication date: 18 June 2021

Abstract: The paper investigates a discrete time Binomial risk model with different types of polices and shock events may influence some of the claim sizes. It is shown that this model can be considered as a particular case of the classical compound Binomial model. As far as we work with parallel Binomial counting processes in infinite time, if we consider them as independent, the probability of the event they to have at least once simultaneous jumps would be equal to one. We overcome this problem by using thinning instead of convolution operation. The bivariate claim counting processes are expressed in two different ways. The characteristics of the total claim amount processes are derived. The risk reserve process and the probabilities of ruin are discussed. The deficit at ruin is thoroughly investigated when the initial capital is zero. Its mean, probability mass function and probability generating function are obtained. We show that although the probability generating function of the global maxima of the random walk is uniquely determined via its probability mass function and vice versa, any compound geometric distribution with non-negative summands has uncountably many stochastically equivalent compound geometric presentations. The probability to survive in much more general settings, than those, discussed here, for example in the Anderson risk model, has uncountably many Beekman's convolution series presentations.

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