Moments of deficit duration and its proportion in general compound binomial model
type: Item
instance of: scholarly article
title: Moments of deficit duration and its proportion in general compound binomial model
author: Miaomiao Hu
author: Jiyang Tan
published in: Results in Applied Mathematics
publication date: 2022-12-09T00:00:00Z
review text: The authors discuss the deficit (negative surplus) duration in the general compound binomial model and derive recursive formulas of \(r\)-th moments of the deficit duration and its proportion in finite time with and without a dividend barrier. Under the condition of positive safety loading, they consider the limit of deficit duration and show the convergence of moments of its proportion. In addition, the paper also discusses a sort of reinsurance strategy to significantly reduce the deficit duration. The proposed algorithms and reinsurance strategy are effective and are illustrated by numerical examples.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 7630833
zbMATH Keywords: deficit duration
zbMATH Keywords: compound binomial model
MaRDI profile type: Publication
full work available at URL: j.rinam.2022.100326
OpenAlex ID: W4293067641
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DOI: 10.1016/J.RINAM.2022.100326
description: scientific article; zbMATH DE number 7630833