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

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Date

2018

Authors

Eryilmaz, Serkan
Eryılmaz, Serkan

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Taylor & Francis inc

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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

Keywords

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

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1

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Q4

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Volume

47

Issue

9

Start Page

2251

End Page

2258

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