scholarly journals The Optimal Dividend Problem in the Continuous- Time Compound Binomial Model Under the Reinsurance Control

2016 ◽  
Vol 5 (6) ◽  
pp. 1876-1879
Keyword(s):  
Continuous Time ◽  
Binomial Model ◽  
Optimal Dividend ◽  
Compound Binomial ◽  
Compound Binomial Model

scholarly journals Ruin problems in Markov-modulated risk models

2017 ◽  
Vol 12 (1) ◽  
pp. 23-48 ◽  
Author(s):  
David C.M. Dickson ◽  
Marjan Qazvini
Keyword(s):  
Continuous Time ◽  
Risk Model ◽  
Numerical Algorithms ◽  
Binomial Model ◽  
Risk Models ◽  
Time Of Ruin ◽  
Compound Binomial ◽  
Compound Binomial Model ◽  
Markov Modulated ◽  
The Time Of Ruin

AbstractChen et al. (2014), studied a discrete semi-Markov risk model that covers existing risk models such as the compound binomial model and the compound Markov binomial model. We consider their model and build numerical algorithms that provide approximations to the probability of ultimate ruin and the probability and severity of ruin in a continuous time two-state Markov-modulated risk model. We then study the finite time ruin probability for a discrete m-state model and show how we can approximate the density of the time of ruin in a continuous time Markov-modulated model with more than two states.

scholarly journals Some Comments on the Compound Binomial Model

1994 ◽  
Vol 24 (1) ◽  
pp. 33-45 ◽  
Author(s):  
David C.M. Dickson
Keyword(s):  
Continuous Time ◽  
Poisson Model ◽  
Ruin Probabilities ◽  
Binomial Model ◽  
Compound Poisson ◽  
Compound Poisson Model ◽  
Compound Binomial ◽  
Compound Binomial Model

AbstractWe 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.

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