Ruin Probabilities in the Compound Markov Binomial Model

DOI10.1080/03461230110106462zbMath1092.91040OpenAlexW2080116205MaRDI QIDQ5467678

David Landriault, Étienne Marceau, Hélène Cossette

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230110106462

zbMATH Keywords

ruin theorydependencecompound binomial modelrecursive calculationLundberg exponential boundMarkov BernoulliMarkov binomial

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cites Work

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• Ruin probabilities for time-correlated claims in the compound binomial model.
• The discrete-time risk model with correlated classes of business
• Optimal reinsurance in relation to ordering of risks
• On the limit of the Markov binomial distribution
• Classical numerical ruin probabilities
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• Compound Poisson approximations for sums of random variables

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