RUIN PROBABILITIES IN THE COMPOUND BINOMIAL MODEL

Authors
WILLMOT GE
Citation
Ge. Willmot, RUIN PROBABILITIES IN THE COMPOUND BINOMIAL MODEL, Insurance. Mathematics & economics, 12(2), 1993, pp. 133-142
Citations number
14
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
12
Issue
2
Year of publication
1993
Pages
133 - 142
Database
ISI
SICI code
0167-6687(1993)12:2<133:RPITCB>2.0.ZU;2-W
Abstract
In this paper explicit formulas are derived for finite time ruin proba bilities in the discrete time and state-space compound binomial model using the technique of generating functions. Ultimate ruin probabiliti es are then obtained, and a close connection is established with the u ltimate ruin probabilities in the usual compound Poisson model when th e claim severity distribution is a (truncated) mixed Poisson distribut ion.