Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
  1. Home
  2. Search

Refine search

Refine search

Access:
Content type:
Publication date:
Apply   From and To filters
Subject: Show more
Journals Show more
Publishers: Show more
Societies Show more
Series: Show more
Collections: Show more

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

2 results

  • The Probability of Eventual Ruin in the Compound Binomial Model

  • Elias S.W. Shiu
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 19 / Issue 2 / November 1989
    Published online by Cambridge University Press:
    07 February 2018, pp. 179-190
    Print publication:
    November 1989
    • Article
      • You have access
    • PDF
    • Export citation

  • This paper derives several formulas for the probability of eventual ruin in a discrete-time model. In this model, the number of claims process is assumed to be binomial. The claim amounts, premium rate and initial surplus are assumed to be integer-valued.

  • Mathematical Fun with the Compound Binomial Process

  • Hans U. Gerber
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 18 / Issue 2 / November 1988
    Published online by Cambridge University Press:
    29 August 2014, pp. 161-168
    Print publication:
    November 1988
    • Article
      • You have access
    • PDF
    • Export citation

  • The compound binomial model is a discrete time analogue (or approximation) of the compound Poisson model of classical risk theory. In this paper, several results are derived for the probability of ruin as well as for the joint distribution of the surpluses immediately before and at ruin. The starting point of the probabilistic arguments are two series of random variables with a surprisingly simple expectation (Theorem 1) and a more classical result of the theory of random walks (Theorem 2) that is best proved by a martingale argument.