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Original Articles

Ruin Probabilities in the Compound Markov Binomial Model

Pages 301-323 | Published online: 10 May 2012

Keep up to date with the latest research on this topic with citation updates for this article.

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Juan Liu, Ya Huang, Xuyan Xiang & Jieming Zhou. (2022) On a discrete interaction risk model with delayed claims and randomized dividends. Communications in Statistics - Theory and Methods 51:15, pages 5241-5257.
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Lianzeng Zhang & He Liu. (2020) On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Scandinavian Actuarial Journal 2020:8, pages 736-753.
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Yingchun Deng, Juan Liu, Ya Huang, Man Li & Jieming Zhou. (2018) On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates. Communications in Statistics - Theory and Methods 47:23, pages 5867-5883.
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Irmina Czarna, Zbigniew Palmowski & Przemysław Świa̧tek. (2017) Discrete time ruin probability with Parisian delay. Scandinavian Actuarial Journal 2017:10, pages 854-869.
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Jiyang Tan, Yuhui Ma, Hanjun Zhang, Ziqiang Li & Xiangqun Yang. (2017) Optimal control strategies for dividend payments and capital injections in compound Markov binomial risk model with penalties for deficits. Communications in Statistics - Theory and Methods 46:10, pages 5072-5092.
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Jie-Hua Xie, Jian-Wei Gao & Wei Zou. (2015) On a Risk Model With Delayed Claims Under Stochastic Interest Rates. Communications in Statistics - Theory and Methods 44:14, pages 3022-3041.
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Chengguo Weng, Yi Zhang & Ken Seng Tan. (2009) Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Scandinavian Actuarial Journal 2009:3, pages 205-218.
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Kam-Chuen Yuen & Junyi Guo. (2006) Some results on the compound Markov binomial model. Scandinavian Actuarial Journal 2006:3, pages 129-140.
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Shuanming Li . (2005) On a class of discrete time renewal risk models. Scandinavian Actuarial Journal 2005:4, pages 241-260.
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Articles from other publishers (39)

Miaomiao Hu & Jiyang Tan. (2022) Moments of deficit duration and its proportion in general compound binomial model. Results in Applied Mathematics 16, pages 100326.
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Christopher Blier-Wong, Hélène Cossette & Etienne Marceau. (2022) Stochastic representation of FGM copulas using multivariate Bernoulli random variables. Computational Statistics & Data Analysis 173, pages 107506.
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Hélène Cossette, Etienne Marceau, Julien Trufin & Pierre Zuyderhoff. (2020) Ruin-based risk measures in discrete-time risk models. Insurance: Mathematics and Economics 93, pages 246-261.
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Omer L. Gebizlioglu & Serkan Eryilmaz. (2018) 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 35:3, pages 858-870.
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Zbigniew Palmowski, Lewis Ramsden & Apostolos D. Papaioannou. (2018) Parisian ruin for the dual risk process in discrete-time. European Actuarial Journal 8:1, pages 197-214.
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Hélène Cossette, Etienne Marceau, Itre Mtalai & Déry Veilleux. (2018) Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications. Insurance: Mathematics and Economics 78, pages 53-71.
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Serkan Eryilmaz & Omer L. Gebizlioglu. (2017) Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences. Journal of Computational and Applied Mathematics 313, pages 235-242.
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Kam Chuen Yuen, Mi Chen & Kam Pui Wat. (2017) On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. Journal of Computational and Applied Mathematics 311, pages 239-251.
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Chaolin Liu, Zhimin Zhang & Hu Yang. (2017) A note on a discrete time MAP risk model. Journal of Computational and Applied Mathematics 309, pages 111-121.
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Zhenhua Bao & Ye Liu. (2016) A discrete-time ruin model with dependence between interclaim arrivals and claim sizes. Advances in Difference Equations 2016:1.
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Serkan Eryilmaz. (2016) Compound Markov negative binomial distribution. Journal of Computational and Applied Mathematics 292, pages 1-6.
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Fang Jin, Hui Ou & Xiang Qun Yang. (2015) A periodic dividend problem with inconstant barrier in Markovian environment. Acta Mathematica Sinica, English Series 31:2, pages 281-294.
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Michel Denuit & Jan Dhaene. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Altan Tuncel & Fatih Tank. (2014) Computational results on the compound binomial risk model with nonhomogeneous claim occurrences. Journal of Computational and Applied Mathematics 263, pages 69-77.
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He Liu & Zhenhua Bao. (2014) On a discrete-time risk model with general income and time-dependent claims. Journal of Computational and Applied Mathematics 260, pages 470-481.
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Mi Chen, Kam Chuen Yuen & Junyi Guo. (2014) Survival probabilities in a discrete semi-Markov risk model. Applied Mathematics and Computation 232, pages 205-215.
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Serkan Eryilmaz. (2012) On Distributions of Runs in the Compound Binomial Risk Model. Methodology and Computing in Applied Probability 16:1, pages 149-159.
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Shuanming Li & Kristina P. Sendova. (2013) The finite-time ruin probability under the compound binomial risk model. European Actuarial Journal 3:1, pages 249-271.
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Yuping Song, Zhengyan Lin & Hanchao Wang. (2013) Re-weighted Nadaraya–Watson estimation of second-order jump-diffusion model. Journal of Statistical Planning and Inference 143:4, pages 730-744.
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Zhengyan Lin & Xinmei Shen. (2011) Approximation of the Tail Probability of Dependent Random Sums Under Consistent Variation and Applications. Methodology and Computing in Applied Probability 15:1, pages 165-186.
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Xiong Wang & Lei He. (2013) The Compound Binomial Risk Model with Randomly Charging Premiums and Paying Dividends to Shareholders. Journal of Applied Mathematics 2013, pages 1-11.
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Yujuan Huang & Wenguang Yu. (2013) Studies on a Double Poisson-Geometric Insurance Risk Model with Interference. Discrete Dynamics in Nature and Society 2013, pages 1-8.
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Yi-bin Yu, Li-xin Zhang & Yi Zhang. (2011) Joint and supremum distributions in the compound binomial model with Markovian environment. Applied Mathematics-A Journal of Chinese Universities 26:3, pages 265-279.
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Cong Gu & Shenghong Li. (2011) Lundberg's Inequality of Erlang(2) Perturbed Risk Model in Markovian Environment. Lundberg's Inequality of Erlang(2) Perturbed Risk Model in Markovian Environment.
Yibin Yu, Lixin Zhan & Yi Zhang. (2010) Finite-time ruin probabilities for the two-dimensional compound binomial model in Markovian environment. Finite-time ruin probabilities for the two-dimensional compound binomial model in Markovian environment.
Hélène Cossette, Etienne Marceau & Véronique Maume-Deschamps. (2013) Discrete-Time Risk Models Based on Time Series for Count Random Variables. ASTIN Bulletin 40:1, pages 123-150.
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Guangyu Yang & Yu Miao. (2009) Moderate and Large Deviation Estimate for the Markov-Binomial Distribution. Acta Applicandae Mathematicae 110:2, pages 737-747.
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Cong Gu, Shenghong Li & Bo Zhou. (2009) Ruin Probabilities for Markov-Modulated Jump-Diffusion Risk Model. Ruin Probabilities for Markov-Modulated Jump-Diffusion Risk Model.
Shuanming Li, Yi Lu & José Garrido. (2009) A review of discrete-time risk modelsUna revista de modelos de riesgo en tiempo discreto. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103:2, pages 321-337.
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Cong Gu, Shenghong Li & Bo Zhou. (2009) On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment. On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment.
Etienne Marceau. (2009) On the discrete-time compound renewal risk model with dependence. Insurance: Mathematics and Economics 44:2, pages 245-259.
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Hu Yang, Zhimin Zhang & Chunmei Lan. (2009) Ruin problems in a discrete Markov risk model. Statistics & Probability Letters 79:1, pages 21-28.
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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 24:6, pages 525-539.
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Yuntao Xiao & Junyi Guo. (2007) The compound binomial risk model with time-correlated claims. Insurance: Mathematics and Economics 41:1, pages 124-133.
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S. X. Liu & J. Y. Guo. (2006) Discrete Risk Model Revisited. Methodology and Computing in Applied Probability 8:2, pages 303-313.
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Hélène Cossette, David Landriault & Étienne Marceau. (2004) Compound binomial risk model in a markovian environment. Insurance: Mathematics and Economics 35:2, pages 425-443.
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Michel Denuit & Jan Dhaene. 2004. Encyclopedia of Actuarial Science. Encyclopedia of Actuarial Science.
Hélène Cossette, David Landriault & Étienne Marceau. (2004) Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Insurance: Mathematics and Economics 34:3, pages 449-466.
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HHllne Cossette, Etienne Marceau & Itre Mtalai. (2017) Archimedean Copulas: Aggregation, Capital Allocation and Other Applications. SSRN Electronic Journal.
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