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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Publisher
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.
Description
Eryilmaz, Serkan/0000-0002-2108-1781
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Keywords
Bivariate risk process, Compound beta-binomial model, Dependence, Exchangeability
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Citation
1
WoS Q
Q4
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Source
Volume
47
Issue
9
Start Page
2251
End Page
2258