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Publication Index: WoSSubject: Compound binomial model

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    Article
    Citation - WoS: 5
    Citation - Scopus: 6
    Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
    (Elsevier, 2017) Eryilmaz, Serkan; Gebizlioglu, Omer L.
    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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    Article
    Citation - WoS: 5
    Citation - Scopus: 5
    On Distributions of Runs in the Compound Binomial Risk Model
    (Springer, 2014) Eryilmaz, Serkan
    This paper is concerned with the distribution of runs associated with claim indicators in a compound binomial risk model. We study the total number of claims, the longest run without claim, the shortest run without claim and the total number of runs up to a fixed period before the occurrence of a ruin. These quantities are potentially useful for an investment strategy of an insurance company and for understanding the behavior of a specific portfolio over time. We obtain recursive equations for the exact distributions of these random variables. We also illustrate the theoretical results with numerical computations.