Survival probabilities for compound binomial risk model with discrete phase-type claims
نویسندگان
چکیده
منابع مشابه
On the Gerber-shiu Penalty Function for the Compound Binomial Risk Model with Delayed Claims
Abstract: In this paper we consider the Gerber-Shiu penalty function in the compound binomial risk model with time-correlated claims. It is assumed that each main claim will induce a by-claim but the occurrence of the by-claim may be delayed with a certain probability. Formulas for the probability generating function of the penalty function are obtained, together with the expression for the pen...
متن کاملSurvival probabilities in a discrete semi-Markov risk model
In this paper, we consider the survival probability for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space and there is autocorrelation among consecutive claim sizes. Our semi-Markov risk model is similar to the one studied in Reinhard and Snoussi [1, 2] without the restriction imposed on the distributions of the claims. I...
متن کاملCompound Negative Binomial Risk Model for Double Type-insurance with Investment and Interfere
By considering the effect on company business from the random premium and inflations, and taking the surplus capital as investment to enhance the company payment’s capacity for the policy-holder, we proposed a compound negative binomial risk model for the inhomogeneous double type-insurance. For the proposed model, some basic properties of the surplus process were analyzed to obtain its station...
متن کاملRuin Probabilities for Large Claims in Delayed Renewal Risk Model*
The following stochastic model, which can be used for example to describe an insurance business, has been considered by Grandell (1991) and Embrechts et al. (1997), Rolski et al. (1999) and Asmussen (2000), among others. Costs of claims Zi, ib 1, form a sequence of independent and identically distributed (i.i.d.), positive random variables (r.v.s) with a common distribution function (d.f.) F an...
متن کاملOn a Discrete Interaction Risk Model with Delayed Claims
We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the defi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics
سال: 2016
ISSN: 1303-5991
DOI: 10.1501/commua1_0000000755