Moments of deficit duration and its proportion in general compound binomial model

DOI10.1016/j.rinam.2022.100326OpenAlexW4293067641MaRDI QIDQ2104152

Ji Yang Tan, Miaomiao Hu

Publication date: 9 December 2022

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2022.100326

zbMATH Keywords

compound binomial modeldeficit duration

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Cites Work

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• The finite-time ruin probability under the compound binomial risk model
• Markov chains and stochastic stability
• Ruin probabilities in the compound binomial model
• Total duration of negative surplus for the risk model with debit interest
• Discounted probabilities and ruin theory in the compound binomial model
• The Omega model: from bankruptcy to occupation times in the red
• How long is the surplus below zero?
• Total duration of negative surplus for a Brownian motion risk model with interest
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• Total duration of negative surplus for the dual model
• Ruin Probabilities in the Compound Markov Binomial Model
• Joint Distributions of Some Ruin Related Quantities in the Compound Binomial Risk Model
• On the moments of ruin and recovery times

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