Some results on the compound Markov binomial model

DOI10.1080/03461230600825359zbMath1144.91036OpenAlexW2002503992MaRDI QIDQ3440849

Kam-Chuen Yuen, Jun-Yi Guo

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230600825359

zbMATH Keywords

ruin probabilitydeficit at ruinsurplus prior to ruinexpected discounted penalty functioncompound Markov binomial model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Markov renewal processes, semi-Markov processes (60K15)

Related Items (11)

Parisian ruin for the dual risk process in discrete-time ⋮ A note on a discrete time MAP risk model ⋮ Frames and factorization of graph Laplacians ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences ⋮ The finite-time ruin probability under the compound binomial risk model ⋮ Discrete time ruin probability with Parisian delay ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends ⋮ Ruin problems in a discrete Markov risk model ⋮ Ruin-based risk measures in discrete-time risk models

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