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

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  • Yuen, K. C.
  • Guo, J. Y.

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  • 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.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:1:p:47-57
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    References listed on IDEAS

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    1. Dickson, David C.M., 1994. "Some Comments on the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 33-45, May.
    2. Shiu, Elias S.W., 1989. "The Probability of Eventual Ruin in the Compound Binomial Model," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 179-190, November.
    3. Ambagaspitiya, Rohana S., 1999. "On the distributions of two classes of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 301-308, May.
    4. Waters, Howard R. & Papatriandafylou, Alex, 1985. "Ruin probabilities allowing for delay in claims settlement," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 113-122, April.
    5. Partrat, Christian, 1994. "Compound model for two dependent kinds of claim," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 219-231, December.
    6. Willmot, Gordon E., 1993. "Ruin probabilities in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 133-142, April.
    7. Ambagaspitiya, Rohana S., 1998. "On the distribution of a sum of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 15-19, October.
    8. Goovaerts, M. J. & Dhaene, J., 1996. "The compound Poisson approximation for a portfolio of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 81-85, May.
    9. Reinhard, Jean-Marie, 1984. "On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment," ASTIN Bulletin, Cambridge University Press, vol. 14(1), pages 23-43, April.
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    Cited by:

    1. Liu, Yang & Chen, Zhenlong & Fu, Ke-Ang, 2021. "Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 177(C).
    2. Li, Jinzhu, 2013. "On pairwise quasi-asymptotically independent random variables and their applications," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2081-2087.
    3. He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    4. 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.
    5. Yang, Haizhong & Li, Jinzhu, 2019. "On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 153-159.
    6. Constantinescu Corina D. & Kozubowski Tomasz J. & Qian Haoyu H., 2019. "Probability of ruin in discrete insurance risk model with dependent Pareto claims," Dependence Modeling, De Gruyter, vol. 7(1), pages 215-233, January.
    7. Aparna B. S & Neelesh S Upadhye, 2019. "On the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized Dividends," Papers 1908.03407, arXiv.org.
    8. Meng, Qingbin & Zhang, Xin & Guo, Junyi, 2008. "On a risk model with dependence between claim sizes and claim intervals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1727-1734, September.
    9. S. X. Liu & J. Y. Guo, 2006. "Discrete Risk Model Revisited," Methodology and Computing in Applied Probability, Springer, vol. 8(2), pages 303-313, June.
    10. Dawei Lu & Meng Yuan, 2022. "Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2265-2286, December.
    11. Jiyang Tan & Chun Li & Ziqiang Li & Xiangqun Yang & Bicheng Zhang, 2015. "Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 82(1), pages 61-83, August.
    12. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.
    13. 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.
    14. Xie, Jie-hua & Zou, Wei, 2010. "Expected present value of total dividends in a delayed claims risk model under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 415-422, April.
    15. Yuan, Meng & Lu, Dawei, 2023. "Asymptotics for a time-dependent by-claim model with dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 120-141.
    16. Yang Yang & Xinzhi Wang & Xiaonan Su & Aili Zhang, 2019. "Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim," Complexity, Hindawi, vol. 2019, pages 1-6, October.
    17. 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.
    18. 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, John Wiley & Sons, vol. 24(6), pages 525-539, November.
    19. Shijie Wang & Yueli Yang & Yang Liu & Lianqiang Yang, 2023. "Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-13, September.
    20. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Compound binomial risk model in a markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 425-443, October.

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