File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/S0167-6687(01)00071-3
- Scopus: eid_2-s2.0-0042868209
- WOS: WOS:000171191700004
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Ruin probabilities for time-correlated claims in the compound binomial model
Title | Ruin probabilities for time-correlated claims in the compound binomial model |
---|---|
Authors | |
Keywords | 0167-6687 By-Claim Compound Binomial Gambler's Ruin Generating Function Main Claim Ruin Probability Survival Probability |
Issue Date | 2001 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2001, v. 29 n. 1, p. 47-57 How to Cite? |
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 obtained and explicit expressions for ultimate ruin probabilities are given in two special cases. © 2001 Elsevier Science B.V. |
Persistent Identifier | http://hdl.handle.net/10722/172405 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Guo, JY | en_US |
dc.date.accessioned | 2012-10-30T06:22:22Z | - |
dc.date.available | 2012-10-30T06:22:22Z | - |
dc.date.issued | 2001 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2001, v. 29 n. 1, p. 47-57 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172405 | - |
dc.description.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 obtained and explicit expressions for ultimate ruin probabilities are given in two special cases. © 2001 Elsevier Science B.V. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | 0167-6687 | en_US |
dc.subject | By-Claim | en_US |
dc.subject | Compound Binomial | en_US |
dc.subject | Gambler's Ruin | en_US |
dc.subject | Generating Function | en_US |
dc.subject | Main Claim | en_US |
dc.subject | Ruin Probability | en_US |
dc.subject | Survival Probability | en_US |
dc.title | Ruin probabilities for time-correlated claims in the compound binomial model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/S0167-6687(01)00071-3 | en_US |
dc.identifier.scopus | eid_2-s2.0-0042868209 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0042868209&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 29 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 47 | en_US |
dc.identifier.epage | 57 | en_US |
dc.identifier.isi | WOS:000171191700004 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Guo, JY=7404490037 | en_US |
dc.identifier.issnl | 0167-6687 | - |