Ruin probabilities for time-correlated claims in the compound binomial model

Authors
Yuen, KC Guo, JY
Citation
Kc. Yuen et Jy. Guo, Ruin probabilities for time-correlated claims in the compound binomial model, INSUR MATH, 29(1), 2001, pp. 47-57
Citations number
12
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
29
Issue
1
Year of publication
2001
Pages
47 - 57
Database
ISI
SICI code
0167-6687(20010820)29:1<47:RPFTCI>2.0.ZU;2-C
Abstract
In this paper we consider the ruin probability for a risk process with time -correlated claims in the compound binomial model. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. Recursive formulas for the finite time ruin probabilities are o btained and explicit expressions for ultimate ruin probabilities are given in two special cases. (C) 2001 Elsevier Science B.V. All rights reserved.