Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
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HYBRID
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Yes
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Abstract
In this paper, we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain expressions for the finite time non-ruin probability, and the joint distribution of the time to ruin, the surplus immediately before ruin, and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.
Description
Gebizlioglu, Ömer/0000-0002-3824-281X; Eryilmaz, Serkan/0000-0002-2108-1781
Keywords
Compound binomial model, Dependence, Exchangeability, Ruin theory, Exchangeability, Ruin theory, Compound binomial model, Dependence, Applications of statistics to actuarial sciences and financial mathematics, ruin theory, Markov binomial model, compound binomial model, dependence, discrete time risk model, exchangeability, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), Risk theory, insurance, non-ruin probability
Fields of Science
0101 mathematics, 01 natural sciences
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OpenCitations Citation Count
10
Volume
313
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Start Page
235
End Page
242
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