publication . Article . Other literature type . 2003

ruin probabilities in the compound markov binomial model

Cossette, Héléne; Landriault, David; Marceau, Étienne;
Restricted
  • Published: 01 Oct 2003 Journal: Scandinavian Actuarial Journal, volume 2,003, pages 301-323 (issn: 0346-1238, eissn: 1651-2030, Copyright policy)
  • Publisher: Informa UK Limited
Abstract
In this paper, we present a compound Markov binomial model which is an extension of the compound binomial model proposed by Gerber (1988a, b) and further examined by Shiu (1989) and Willmot (1993). The compound Markov binomial model is based on the Markov Bernoulli process which introduces dependency between claim occurrences. Recursive formulas are provided for the computation of the ruin probabilities over finite- and infinite-time horizons. A Lundberg exponential bound is derived for the ruin probability and numerical examples are also provided.
Subjects
free text keywords: Binomial approximation, Ruin theory, Continuity correction, Binomial distribution, Poisson binomial distribution, Mathematics, Multinomial distribution, Statistics, Discrete mathematics, Negative binomial distribution, Markov chain
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publication . Article . Other literature type . 2003

ruin probabilities in the compound markov binomial model

Cossette, Héléne; Landriault, David; Marceau, Étienne;