𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Ruin Probabilities in the Compound Markov Binomial Model

✍ Scribed by Cossette, Héléne; Landriault, David; Marceau, Étienne

Book ID
126570293
Publisher
Taylor and Francis Group
Year
2003
Tongue
English
Weight
168 KB
Volume
2003
Category
Article
ISSN
0346-1238

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Discounted probabilities and ruin theory
Discounted probabilities and ruin theory in the compound binomial model
✍ Shixue Cheng; Hans U. Gerber; Elias S.W. Shiu 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 93 KB

The aggregate claims are modeled as a compound binomial process, and the individual claim amounts are integer-valued. We study f(x, y; u), the "discounted" probability of ruin for an initial surplus u, such that the surplus just before ruin is x and the deficit at ruin is y. This function can be use