Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model

DOI10.1007/S10255-011-0040-7zbMath1211.91149OpenAlexW2074756013MaRDI QIDQ628628

Xian-Min Geng, Shu-Chen Wan

Publication date: 14 March 2011

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-011-0040-7

zbMATH Keywords

ruin probabilityjoint distributionscompound negative binomial modelsequence of up-crossing zero pointsultimately leaving deficit time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Unnamed Item
• Error bounds for the compound Poisson approximation
• Joint distributions of some actuarial random vectors in the compound binomial model
• Heterogeneous INAR(1) model with application to car insurance
• Strategies for computation of compound distributions with two-sided severities
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Joint distributions of some actuarial random vectors containing the time of ruin

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