Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences

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2017

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Elsevier

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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

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.

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Gebizlioglu, Ömer/0000-0002-3824-281X; Eryilmaz, Serkan/0000-0002-2108-1781
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Gebizlioglu, Ömer ORCID logo
Eryilmaz, Serkan ORCID logo

Keywords

Compound binomial model, Dependence, Exchangeability, Ruin theory

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5

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Volume

313

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Start Page

235

End Page

242

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https://doi.org/10.1016/j.cam.2016.09.025
 https://hdl.handle.net/20.500.14411/2921

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