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

dc.authorid Gebizlioglu, Ömer/0000-0002-3824-281X
dc.authorid Eryilmaz, Serkan/0000-0002-2108-1781
dc.authorscopusid 8203625300
dc.authorscopusid 8849861700
dc.authorwosid Gebizlioglu, Ömer/ABF-8970-2021
dc.authorwosid Eryilmaz, Serkan/AAF-9349-2019
dc.contributor.author Eryilmaz, Serkan
dc.contributor.author Gebizlioglu, Omer L.
dc.contributor.other Industrial Engineering
dc.date.accessioned 2024-07-05T15:29:25Z
dc.date.available 2024-07-05T15:29:25Z
dc.date.issued 2017
dc.department Atılım University en_US
dc.department-temp [Eryilmaz, Serkan] Atilim Univ, Dept Ind Engn, TR-06836 Ankara, Turkey; [Gebizlioglu, Omer L.] Kadir Has Univ, Fac Econ Adm & Social Sci, TR-34083 Istanbul, Turkey en_US
dc.description Gebizlioglu, Ömer/0000-0002-3824-281X; Eryilmaz, Serkan/0000-0002-2108-1781 en_US
dc.description.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. en_US
dc.identifier.citationcount 5
dc.identifier.doi 10.1016/j.cam.2016.09.025
dc.identifier.endpage 242 en_US
dc.identifier.issn 0377-0427
dc.identifier.issn 1879-1778
dc.identifier.scopus 2-s2.0-84991607081
dc.identifier.startpage 235 en_US
dc.identifier.uri https://doi.org/10.1016/j.cam.2016.09.025
dc.identifier.uri https://hdl.handle.net/20.500.14411/2921
dc.identifier.volume 313 en_US
dc.identifier.wos WOS:000390501600016
dc.identifier.wosquality Q1
dc.institutionauthor Eryılmaz, Serkan
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.scopus.citedbyCount 6
dc.subject Compound binomial model en_US
dc.subject Dependence en_US
dc.subject Exchangeability en_US
dc.subject Ruin theory en_US
dc.title Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences en_US
dc.type Article en_US
dc.wos.citedbyCount 5
dspace.entity.type Publication
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relation.isAuthorOfPublication.latestForDiscovery 37862217-5541-47e3-9406-e21aa38e7fdf
relation.isOrgUnitOfPublication 12c9377e-b7fe-4600-8326-f3613a05653d
relation.isOrgUnitOfPublication.latestForDiscovery 12c9377e-b7fe-4600-8326-f3613a05653d

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