scholarly journals Probability of ruin in discrete insurance risk model with dependent Pareto claims

2019 ◽  
Vol 7 (1) ◽  
pp. 215-233
Author(s):  
Corina D. Constantinescu ◽  
Tomasz J. Kozubowski ◽  
Haoyu H. Qian
Keyword(s):  
Power Law ◽  
Pareto Distribution ◽  
Risk Model ◽  
Probability Distributions ◽  
Insurance Risk ◽  
Probability Of Ruin ◽  
New Class ◽  
Compound Binomial ◽  
Compound Binomial Risk Model ◽  
Positive Integers

AbstractWe present basic properties and discuss potential insurance applications of a new class of probability distributions on positive integers with power law tails. The distributions in this class are zero-inflated discrete counterparts of the Pareto distribution. In particular, we obtain the probability of ruin in the compound binomial risk model where the claims are zero-inflated discrete Pareto distributed and correlated by mixture.

Compound binomial risk model in a markovian environment

2004 ◽  
Vol 35 (2) ◽  
pp. 425-443 ◽  
Author(s):  
Hélène Cossette ◽  
David Landriault ◽  
Étienne Marceau
Keyword(s):  
Risk Model ◽  
Markovian Environment ◽  
Compound Binomial ◽  
Compound Binomial Risk Model

scholarly journals Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Wenguang Yu
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Insurance Risk ◽  
Ruin Time ◽  
Expected Discounted Penalty Function ◽  
Recursion Formulas ◽  
Compound Binomial ◽  
Discounted Penalty Function ◽  
Premium Income ◽  
Insurance Risk Model

The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probabilityq0when the surplus is greater than or equal to a nonnegative integerb. The recursion formulas for expected discounted penalty function are derived. As applications, we present the recursion formulas for the ruin probability, the probability function of the surplus prior to the ruin time, and the severity of ruin. Finally, numerical example is also given to illustrate the effect of the related parameters on the ruin probability.

scholarly journals MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

2003 ◽  
Vol 17 (2) ◽  
pp. 183-198 ◽  
Author(s):  
Hailiang Yang ◽  
Lihong Zhang
Keyword(s):  
Interest Rate ◽  
Autoregressive Model ◽  
Ruin Probability ◽  
Risk Model ◽  
Martingale Method ◽  
Insurance Risk ◽  
Infinite Time ◽  
Probability Of Ruin ◽  
Constant Interest Rate ◽  
Constant Interest

In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.

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