Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
| 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.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.doi | 10.1016/j.cam.2016.09.025 | |
| dc.identifier.issn | 0377-0427 | |
| dc.identifier.issn | 1879-1778 | |
| dc.identifier.scopus | 2-s2.0-84991607081 | |
| 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.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| 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 |
| dspace.entity.type | Publication | |
| gdc.author.id | Gebizlioglu, Ömer/0000-0002-3824-281X | |
| gdc.author.id | Eryilmaz, Serkan/0000-0002-2108-1781 | |
| gdc.author.institutional | Eryılmaz, Serkan | |
| gdc.author.scopusid | 8203625300 | |
| gdc.author.scopusid | 8849861700 | |
| gdc.author.wosid | Gebizlioglu, Ömer/ABF-8970-2021 | |
| gdc.author.wosid | Eryilmaz, Serkan/AAF-9349-2019 | |
| gdc.coar.access | open access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [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 |
| gdc.description.endpage | 242 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 235 | en_US |
| gdc.description.volume | 313 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.wos | WOS:000390501600016 | |
| gdc.scopus.citedcount | 6 | |
| gdc.wos.citedcount | 5 | |
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