IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v35y2019i3p858-870.html
   My bibliography  Save this article

The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences

Author

Listed:
  • Omer L. Gebizlioglu
  • Serkan Eryilmaz

Abstract

This paper investigates a discrete‐time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First, a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite‐time interval. Specifically, the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution, the computation of the minimum surplus distribution is given. Asset and risk management–oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition, comparisons are made involving the corresponding results of the classical discrete‐time compound binomial risk model, for which claim occurrences are independent and identically distributed.

Suggested Citation

  • Omer L. Gebizlioglu & Serkan Eryilmaz, 2019. "The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 858-870, May.
    • Handle: RePEc:wly:apsmbi:v:35:y:2019:i:3:p:858-870
    DOI: 10.1002/asmb.2415
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.2415
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.2415?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    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:wly:apsmbi:v:35:y:2019:i:3:p:858-870. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    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.