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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.