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Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model

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  • Cossette, Helene
  • Landriault, David
  • Marceau, Etienne

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  • Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 449-466, June.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:3:p:449-466
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    References listed on IDEAS

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    1. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.
    2. Michel, R., 1989. "Representation of a time-discrete probability of eventual ruin," Insurance: Mathematics and Economics, Elsevier, vol. 8(2), pages 149-152, June.
    3. Dickson, David C.M., 1994. "Some Comments on the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 33-45, May.
    4. Shiu, Elias S.W., 1989. "The Probability of Eventual Ruin in the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 179-190, November.
    5. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
    6. Gerber, Hans U., 1988. "Mathematical fun with ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 15-23, January.
    7. Willmot, Gordon E., 1993. "Ruin probabilities in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 133-142, April.
    8. Gerber, Hans U., 1988. "Mathematical Fun with the Compound Binomial Process," ASTIN Bulletin, Cambridge University Press, vol. 18(2), pages 161-168, November.
    9. Willmot, Gordon E., 1989. "Limiting tail behaviour of some discrete compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 175-185, November.
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    Cited by:

    1. S. X. Liu & J. Y. Guo, 2006. "Discrete Risk Model Revisited," Methodology and Computing in Applied Probability, Springer, vol. 8(2), pages 303-313, June.
    2. Stanisław Heilpern, 2010. "Dependent discrete risk processes - calculation of the probability of ruin," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 59-76.
    3. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.
    4. Marceau, Etienne, 2009. "On the discrete-time compound renewal risk model with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 245-259, April.
    5. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.

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