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Some Comments on the Compound Binomial Model

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  • Dickson, David C.M.

Abstract

We show how ruin probabilities for the classical continuous time compound Poisson model can be approximated by ruin probabilities for a compound binomial model. We also discuss ruin related results for a compound binomial model with geometric claim amounts.

Suggested Citation

  • Dickson, David C.M., 1994. "Some Comments on the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 33-45, May.
    • Handle: RePEc:cup:astinb:v:24:y:1994:i:01:p:33-45_00
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    Citations

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    Cited by:

    1. Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu, 2018. "On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends," Risks, MDPI, vol. 6(1), pages 1-13, January.
    2. Bao, Zhenhua & Song, Lixin & Liu, He, 2013. "A note on the inflated-parameter binomial distribution," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1911-1914.
    3. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2009. "Ruin problems in a discrete Markov risk model," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 21-28, January.
    4. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 449-466, June.
    5. Liu, Guoxin & Wang, Ying & Zhang, Bei, 2005. "Ruin probability in the continuous-time compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 303-316, June.
    6. Marceau, Etienne, 2009. "On the discrete-time compound renewal risk model with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 245-259, April.
    7. Liu, Guoxin & Zhao, Jinyan, 2007. "Joint distributions of some actuarial random vectors in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 95-103, January.
    8. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    9. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    10. Luc Aucremanne & Guy Brys & Peter J Rousseeuw & Anja Struyf & Mia Hubert, 2003. "Inflation, relative prices and nominal rigidities," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 81-105, Bank for International Settlements.
    11. repec:eee:labchp:v:3:y:1999:i:pc:p:3261-3307 is not listed on IDEAS
    12. Xiao, Yuntao & Guo, Junyi, 2007. "The compound binomial risk model with time-correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 124-133, July.
    13. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    14. Pavlova, Kristina P. & Willmot, Gordon E., 2004. "The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 267-277, October.
    15. Tan, Jiyang & Yang, Xiangqun, 2006. "The compound binomial model with randomized decisions on paying dividends," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 1-18, August.

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