Ruin related quantities in a class of state-space compound binomial models
سال انتشار: 1401
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 31
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شناسه ملی سند علمی:
JR_JSMTA-3-2_004
تاریخ نمایه سازی: 23 خرداد 1403
چکیده مقاله:
The main focus of this paper is to extend the analysis of some ruin related problems to a class of state-space compound binomial risk models for a sequence of independent and identically distributed random variables of interclaim times when the claim occurrences are homogeneous. First, we obtain the mass function of a defective renewal sequence of random {Fn }n≥۰ -stopping times, using the compound binomial of aggregate claim amount together the net profit condition, and compute the infinite time ruin probability with Markov property of risk process. Moreover, we derive the distribution of the time to ruin among many random variables associated with ruin using the convolution of claim amount and Lagrange’s implicit function theorem. Lastly, the theoretical results are illustrated with numerical computations.
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نویسندگان
Abouzar Bazyari
Department of Statistics, Faculty of Intelligent Systems Engineering and Data Science, Persian Gulf University, Bushehr, Iran