Ruin probability for finite negative binomial mixture claims via recurrence sequences

DOI10.1080/03610926.2022.2087091OpenAlexW4282827239MaRDI QIDQ6060897

David J. Santana, L. A. Rincon

Publication date: 29 November 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2087091

zbMATH Keywords

negative binomial distributionruin probabilityrecurrence sequencesdiscrete-time risk model

Mathematics Subject Classification ID

Stochastic processes (60G99) Actuarial science and mathematical finance (91G99)

Cites Work

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• The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process
• Insurance Risk and Ruin
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• A moment recursive formula for a class of distributions
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• A review of discrete-time risk models

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