IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v41y2007i1p124-133.html
   My bibliography  Save this article

The compound binomial risk model with time-correlated claims

Author

Listed:
  • Xiao, Yuntao
  • Guo, Junyi

Abstract

No abstract is available for this item.

Suggested Citation

  • Xiao, Yuntao & Guo, Junyi, 2007. "The compound binomial risk model with time-correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 124-133, July.
    • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:124-133
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(06)00152-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dickson, David C.M., 1994. "Some Comments on the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 33-45, May.
    2. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    3. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    4. Willmot, Gordon E., 1993. "Ruin probabilities in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 133-142, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Jinzhu, 2013. "On pairwise quasi-asymptotically independent random variables and their applications," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2081-2087.
    2. Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu, 2018. "On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends," Risks, MDPI, vol. 6(1), pages 1-13, January.
    3. Yang, Haizhong & Li, Jinzhu, 2019. "On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 153-159.
    4. Matija Vidmar, 2018. "Fluctuation Theory for Upwards Skip-Free Lévy Chains," Risks, MDPI, vol. 6(3), pages 1-24, September.
    5. Jiyang Tan & Chun Li & Ziqiang Li & Xiangqun Yang & Bicheng Zhang, 2015. "Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 82(1), pages 61-83, August.
    6. 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.
    7. Xie, Jie-hua & Zou, Wei, 2010. "Expected present value of total dividends in a delayed claims risk model under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 415-422, April.
    8. Yang Yang & Xinzhi Wang & Xiaonan Su & Aili Zhang, 2019. "Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim," Complexity, Hindawi, vol. 2019, pages 1-6, October.
    9. Liu, Yang & Chen, Zhenlong & Fu, Ke-Ang, 2021. "Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 177(C).
    10. He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    11. Aparna B. S & Neelesh S Upadhye, 2019. "On the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized Dividends," Papers 1908.03407, arXiv.org.
    12. Dawei Lu & Meng Yuan, 2022. "Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2265-2286, December.
    13. Yuan, Meng & Lu, Dawei, 2023. "Asymptotics for a time-dependent by-claim model with dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 120-141.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu, 2018. "On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends," Risks, MDPI, vol. 6(1), pages 1-13, January.
    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. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2009. "Ruin problems in a discrete Markov risk model," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 21-28, January.
    5. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    6. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    7. Bao, Zhenhua & Song, Lixin & Liu, He, 2013. "A note on the inflated-parameter binomial distribution," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1911-1914.
    8. 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.
    9. David Landriault, 2008. "On a generalization of the expected discounted penalty function in a discrete‐time insurance risk model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 525-539, November.
    10. Liu, Guoxin & Wang, Ying & Zhang, Bei, 2005. "Ruin probability in the continuous-time compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 303-316, June.
    11. 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.
    12. Pavlova, Kristina P. & Willmot, Gordon E., 2004. "The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 267-277, October.
    13. Liu, Guoxin & Zhao, Jinyan, 2007. "Joint distributions of some actuarial random vectors in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 95-103, January.
    14. Constantinescu Corina D. & Kozubowski Tomasz J. & Qian Haoyu H., 2019. "Probability of ruin in discrete insurance risk model with dependent Pareto claims," Dependence Modeling, De Gruyter, vol. 7(1), pages 215-233, January.
    15. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    16. Tan, Jiyang & Yang, Xiangqun, 2006. "The compound binomial model with randomized decisions on paying dividends," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 1-18, August.
    17. García, V.J. & Gómez-Déniz, E. & Vázquez-Polo, F.J., 2010. "A new skew generalization of the normal distribution: Properties and applications," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 2021-2034, August.
    18. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
    19. He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    20. Chi, Yichun, 2010. "Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 385-396, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:124-133. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.