Joint distributions of some actuarial random vectors in the compound binomial model [An article from: Insurance Mathematics and Economics] | ![Joint distributions of some actuarial random vectors in the compound binomial model [An article from: Insurance Mathematics and Economics]](http://ecx.images-amazon.com/images/I/51TSCGR0EVL._SL160_.jpg)
 enlarge | Authors: G. Liu, J. Zhao
Publisher: Elsevier
Category: Book
Buy New: $10.95
Format: Html
Media: Digital
Publication Date: January 1, 2007
Availability: Available for download now
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This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The compound binomial model is first proposed by Gerber [Gerber, H.U., 1988. Mathematical fun with compound binomial process. Astin Bull. 18, 161-168]. In this paper, we introduce a renewal mass function of a defective renewal sequence constituted by the up-crossing zero points of the model and get its explicit expression. By the mass function together with the strong Markov property of the surplus process {X(n)}, we obtain the explicit expressions of the ruin probability, the joint distribution of T,X(T-1) and |X(T)| (i.e., the time of ruin, the surplus immediately before ruin and the deficit at ruin) and distributions of some actuarial random vectors containing more than three variables.
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