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Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model

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  • Cossette, Helene
  • Landriault, David
  • Marceau, Etienne

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  • 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.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:3:p:449-466
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    References listed on IDEAS

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    1. Gerber, Hans U., 1988. "Mathematical fun with ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 15-23, January.
    2. repec:cup:astinb:v:25:y:1995:i:02:p:153-175_00 is not listed on IDEAS
    3. Michel, R., 1989. "Representation of a time-discrete probability of eventual ruin," Insurance: Mathematics and Economics, Elsevier, vol. 8(2), pages 149-152, June.
    4. repec:cup:astinb:v:24:y:1994:i:01:p:33-45_00 is not listed on IDEAS
    5. repec:cup:astinb:v:19:y:1989:i:02:p:179-190_00 is not listed on IDEAS
    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. repec:cup:astinb:v:18:y:1988:i:02:p:161-168_00 is not listed on IDEAS
    8. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
    9. Willmot, Gordon E., 1989. "Limiting tail behaviour of some discrete compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 175-185, November.
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    Cited by:

    1. 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.
    2. Stanisław Heilpern, 2010. "Dependent discrete risk processes - calculation of the probability of ruin," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 59-76.
    3. 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.
    4. 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.
    5. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.

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