Ruin probability in the continuous-time compound binomial model

DOI10.1016/J.INSMATHECO.2005.02.005zbMath1110.62146OpenAlexW2021830296MaRDI QIDQ882856

Guoxin Liu, Ying Wang, Bei Zhang

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.005

zbMATH Keywords

Ruin probabilitycontinuous-time compound binomial modelCramér-Lundberg approximationsLundberg boundsPiecewise deterministic Markov process (PDMP)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Related Items (4)

Joint distributions of some actuarial random vectors in the compound binomial model ⋮ Exponential change of measure for general piecewise deterministic Markov processes ⋮ On the expected discounted penalty function for the continuous-time compound binomial risk model ⋮ Sharp approximations of ruin probabilities in the discrete time models

Cites Work

• Unnamed Item
• Ruin probabilities in the compound binomial model
• Discounted probabilities and ruin theory in the compound binomial model

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