Ruin probabilities in the compound binomial model

DOI10.1016/0167-6687(93)90823-8MaRDI QIDQ689578zbMATH OpenOpenAlexFDO

Authors Gordon E. Willmot

Publication date 24 October 1994

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

Full work available at URL https://doi.org/10.1016/0167-6687(93)90823-8

zbMATH Keywords

random walkgenerating functionsdiscrete timeexplicit formulamixed Poisson distributioncompound Poisson modelLagrange's expansionclaim severity distributioncompound geometricfinite time ruin probabilitiesGambler's ruinstate- space compound binomial modelultimate ruin probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Representation of a time-discrete probability of eventual ruin

Cited in

(73)

• On some measures of the severity of ruin in the compound binomial model
• Pollazek-Khinchin formula for the ruin probability in compound binominal risk model
• Fluctuations of an omega-type killed process in discrete time
• scientific article; zbMATH DE number 5630985 (Why is no real title available?)
• Discrete-time insurance models
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• Computational results on the compound binomial risk model with nonhomogeneous claim occurrences
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• On the extremes of surplus process in compound binomial model
• Compound binomial model with batch Markovian arrival process
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• Gerber-Shiu function for the discrete inhomogeneous claim case
• On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
• Joint distributions of some ruin related quantities in the compound binomial risk model
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• The probability of ruin
• Ruin problems for correlated claims binomial risk models
• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• On a discrete risk model with two-sided jumps
• Aging and other distributional properties of discrete compound geometric distributions
• Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model
• A note on the net profit condition for discrete and classical risk models
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• On distributions of runs in the compound binomial risk model
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• Discounted probabilities and ruin theory in the compound binomial model
• On a discrete interaction risk model with delayed claims and randomized dividends
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• Joint and supremum distributions in the compound binomial model with Markovian environment
• The compound binomial risk model with time-correlated claims
• The compound binomial risk model with delayed claims and random income
• The finite-time ruin probability under the compound binomial risk model
• On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains
• Ruin-based risk measures in discrete-time risk models
• On finite-time ruin probabilities for classical risk models
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Discrete risk model revisited
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
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• On a discrete risk model with delayed claims and a randomized dividend strategy
• Ruin problems in a discrete Markov risk model
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims
• Parisian ruin for the dual risk process in discrete-time
• A note on the inflated-parameter binomial distribution
• A threshold-based risk process with a waiting period to pay dividends
• Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
• Finite time ruin probabilities and large deviations for generalized compound binomial risk models
• A generalized penalty function for a class of discrete renewal processes
• Survival probabilities in a discrete semi-Markov risk model
• On the discrete-time compound renewal risk model with dependence
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
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• Explicit analytic ruin probabilities for bounded claims
• On a risk model with delayed claims under stochastic interest rates
• Moderate and large deviation estimate for the Markov-binomial distribution
• Some results on the compound Markov binomial model
• Discrete-time risk models on time series for count random variables
• Discrete time ruin probability with Parisian delay
• Probability of ruin in discrete insurance risk model with dependent Pareto claims
• Cramér-Lundberg results for the infinite time ruin probability in the compound binomial model
• The compound binomial model with randomized decisions on paying dividends
• Moments of deficit duration and its proportion in general compound binomial model
• Joint distributions of some actuarial random vectors in the compound binomial model
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Ruin probability in the continuous-time compound binomial model
• Ruin Probabilities in the Compound Markov Binomial Model
• Ruin probabilities with compounding assets
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The survival probability in finite time period in fully discrete risk model
• Ruin probabilities for time-correlated claims in the compound binomial model.

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