Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model

DOI10.1016/j.insmatheco.2004.03.008zbMath1188.91086OpenAlexW2073548286MaRDI QIDQ977152

David Landriault, Étienne Marceau, Hélène Cossette

Publication date: 20 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.008

zbMATH Keywords

upper boundruin theorydependencecompound binomial modelcompound geometric tailcompound Markov binomial model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Characterization and structure theory of statistical distributions (62E10)

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Cites Work

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