On the First Time of Ruin in Two-Dimensional Discrete Time Risk Model With Dependent Claim Occurrences

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2018

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Taylor & Francis inc

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Industrial Engineering
(1998)
Industrial Engineering is a field of engineering that develops and applies methods and techniques to design, implement, develop and improve systems comprising of humans, materials, machines, energy and funding. Our department was founded in 1998, and since then, has graduated hundreds of individuals who may compete nationally and internationally into professional life. Accredited by MÜDEK in 2014, our student-centered education continues. In addition to acquiring the knowledge necessary for every Industrial engineer, our students are able to gain professional experience in their desired fields of expertise with a wide array of elective courses, such as E-commerce and ERP, Reliability, Tabulation, or Industrial Engineering Applications in the Energy Sector. With dissertation projects fictionalized on solving real problems at real companies, our students gain experience in the sector, and a wide network of contacts. Our education is supported with ERASMUS programs. With the scientific studies of our competent academic staff published in internationally-renowned magazines, our department ranks with the bests among other universities. IESC, one of the most active student networks at our university, continues to organize extensive, and productive events every year.

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Abstract

This article is concerned with a two-dimensional discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain a recursive expression for the finite time non ruin probability under such a dependence among claim occurrences. For an illustration, we define a bivariate compound beta-binomial risk model and present numerical results on this model by comparing the corresponding results of the bivariate compound binomial risk model.

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Eryilmaz, Serkan/0000-0002-2108-1781
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Keywords

Bivariate risk process, Compound beta-binomial model, Dependence, Exchangeability

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Q4

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Volume

47

Issue

9

Start Page

2251

End Page

2258

URI

https://doi.org/10.1080/03610926.2017.1337145
 https://hdl.handle.net/20.500.14411/3020

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