Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences

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• 作者：Serkan Eryilmaz^a ; ^{serkan.eryilmaz@atilim.edu.tr" class="auth_mail" title="E-mail the corresponding author} ; Omer L. Gebizlioglu^b
• 关键词：Compound binomial model ; Dependence ; Exchangeability ; Ruin theory
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2017
• 出版时间：15 March 2017
• 年：2017
• 卷：313
• 期：Complete
• 页码：235-242
• 全文大小：493 K

文摘

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.