Joint and supremum distributions in the compound binomial model with Markovian environment

DOI10.1007/S11766-011-2473-4zbMath1249.91061OpenAlexW1991396057MaRDI QIDQ423179

Yi Zhang, Zhang, Lixin, Yi-Bin Yu

Publication date: 1 June 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2473-4

zbMATH Keywords

joint distributionrecursive formulaMarkovian environmentsupremum distributioncompound binomial modelmass function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Ruin probabilities in the compound binomial model
• Compound binomial risk model in a Markovian environment
• Joint distributions of some actuarial random vectors in the compound binomial model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• The Markovian regime-switching risk model with a threshold dividend strategy
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The joint distributions of several important actuarial diagnostics in the classical risk model.
• Joint distributions of some actuarial random vectors containing the time of ruin
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Ruin problems in a discrete Markov risk model
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• Some results on the compound Markov binomial model
• Risk theory in a Markovian environment
• Ruin Probabilities in the Compound Markov Binomial Model

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