Compound binomial risk model in a Markovian environment

DOI10.1016/J.INSMATHECO.2004.07.009zbMATH Open1079.91049OpenAlexW2065255685MaRDI QIDQ704419FDOQ704419

Authors: Hélène Cossette, David Landriault, É. Marceau 

Publication date: 13 January 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.009

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zbMATH Keywords

Cox processesMarkovian environmentCompound binomial modelDependent BernoulliRuin probabilitiesStochastic orderingUpper bounds

Mathematics Subject Classification ID

Cites Work

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Cited In (25)

• Title not available (Why is that?)
• Some mixing properties of conditionally independent processes
• Joint and supremum distributions in the compound binomial model with Markovian environment
• Adjustment coefficient for risk processes in some dependent contexts
• Random sums of exchangeable variables and actuarial applications
• A periodic dividend problem with inconstant barrier in Markovian environment
• Computational results on the compound binomial risk model with nonhomogeneous claim occurrences
• Risk aggregation in multivariate dependent Pareto distributions
• Conditional probability calculations of the compound binomial risk model in Markov-chain environment
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• The compound binomial risk model with time-correlated claims
• A note on a discrete time MAP risk model
• Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
• Discrete-time risk models on time series for count random variables
• A Markov decision problem in a risk model with interest rate and Markovian environment
• The finite-time ruin probability under the compound binomial risk model
• Establishment and construction of compound binomial risk model in Markov-chain environment
• Ruin probabilities in the discrete time renewal risk model
• Approximation of the tail probability of dependent random sums under consistent variation and applications
• Discrete time ruin probability with Parisian delay
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
• A Markov-modulated tree-based gradient boosting model for auto-insurance risk premium pricing
• Compound binomial risk model with random income in Markov chain environment
• On the discrete-time compound renewal risk model with dependence
• Ruin problems in a discrete Markov risk model

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