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Article: Ruin probabilities for time-correlated claims in the compound binomial model

TitleRuin probabilities for time-correlated claims in the compound binomial model
Authors
Yuen, KCGuo, JY
Keywords0167-6687
By-Claim
Compound Binomial
Gambler's Ruin
Generating Function
Main Claim
Ruin Probability
Survival Probability
Issue Date2001
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2001, v. 29 n. 1, p. 47-57 How to Cite?
DOI: http://dx.doi.org/10.1016/S0167-6687(01)00071-3
AbstractIn this paper we consider the ruin probability for a risk process with time-correlated claims in the compound binomial model. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. Recursive formulas for the finite time ruin probabilities are obtained and explicit expressions for ultimate ruin probabilities are given in two special cases. © 2001 Elsevier Science B.V.
Persistent Identifierhttp://hdl.handle.net/10722/172405
ISSN
0167-6687
2021 Impact Factor: 2.168
2020 SCImago Journal Rankings: 1.139
ISI Accession Number ID
WOS:000171191700004
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorGuo, JYen_US
dc.date.accessioned2012-10-30T06:22:22Z-
dc.date.available2012-10-30T06:22:22Z-
dc.date.issued2001en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2001, v. 29 n. 1, p. 47-57en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172405-
dc.description.abstractIn this paper we consider the ruin probability for a risk process with time-correlated claims in the compound binomial model. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. Recursive formulas for the finite time ruin probabilities are obtained and explicit expressions for ultimate ruin probabilities are given in two special cases. © 2001 Elsevier Science B.V.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subject0167-6687en_US
dc.subjectBy-Claimen_US
dc.subjectCompound Binomialen_US
dc.subjectGambler's Ruinen_US
dc.subjectGenerating Functionen_US
dc.subjectMain Claimen_US
dc.subjectRuin Probabilityen_US
dc.subjectSurvival Probabilityen_US
dc.titleRuin probabilities for time-correlated claims in the compound binomial modelen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0167-6687(01)00071-3en_US
dc.identifier.scopuseid_2-s2.0-0042868209en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0042868209&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume29en_US
dc.identifier.issue1en_US
dc.identifier.spage47en_US
dc.identifier.epage57en_US
dc.identifier.isiWOS:000171191700004-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridGuo, JY=7404490037en_US
dc.identifier.issnl0167-6687-

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