The compound binomial risk model with time-correlated claims

In this paper, we consider the compound binomial risk model with the time-correlated claims. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. We obtain the recursive formula of the joint distribution of the surplus immediately prior to ru...

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Published inInsurance, mathematics & economics Vol. 41; no. 1; pp. 124 - 133
Main Authors Xiao, Yuntao, Guo, Junyi
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.2007
Elsevier
Elsevier Sequoia S.A
SeriesInsurance: Mathematics and Economics
Subjects
Bankruptcy
Binomial distribution
By-claims
Compound binomial risk model
Correlation analysis
Joint distribution
Lundberg’s inequality
Main claims
Modelling
Probability
Risk
Ruin probability
Studies
Surplus
Time
Ruin probability
G22
Compound binomial risk model
By-claims
Main claims
Lundberg’s inequality
Joint distribution
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Summary:In this paper, we consider the compound binomial risk model with the time-correlated claims. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. We obtain the recursive formula of the joint distribution of the surplus immediately prior to ruin and deficit at ruin. Furthermore, the ruin probability is given by means of ruin probability and the deficit at ruin of the classical compound binomial risk model. Finally, we derive an upper bound for the ruin probability.
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ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2006.10.009