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Ruin probability in the continuous-time compound binomial model

✍ Scribed by Guoxin Liu; Ying Wang; Bei Zhang


Book ID
108153054
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
130 KB
Volume
36
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Discounted probabilities and ruin theory
✍ Shixue Cheng; Hans U. Gerber; Elias S.W. Shiu πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 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