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
upper boundruin theorydependencecompound binomial modelcompound geometric tailcompound Markov binomial model
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
- Ruin probabilities in the compound binomial model
- Mathematical fun with ruin theory
- Representation of a time-discrete probability of eventual ruin
- Limiting tail behaviour of some discrete compound distributions
- Lundberg approximations for compound distributions with insurance applications
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