Record number :

1544366

Title of article :

Discounted probabilities and ruin theory in the compound binomial model

Author/Authors :

Cheng، نويسنده , , Shixue and Gerber، نويسنده , , Hans U. and Shiu، نويسنده , , Elias S.W.، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2000

Pages :

12

From page :

239

To page :

250

Abstract :

The aggregate claims are modeled as a compound binomial process, and the individual claim amounts are integer-valued. We study f(x, y; u), the “discounted” probability of ruin for an initial surplus u, such that the surplus just before ruin is x and the deficit at ruin is y. This function can be used to calculate the expected present value of a penalty that is due at ruin, and, if it is interpreted as a probability generating function, to obtain certain information about the time of ruin. An explicit formula for f(x, y; 0) is derived. Then it is shown how f(x, y; u) can be expressed in terms of f(x, y; 0) and an auxiliary function h(u) that is the solution of a certain recursive equation and is independent of x and y. As an application, we use the asymptotic expansion of h(u) to obtain an asymptotic formula for f(x, y; u). In this model, certain results can be obtained more easily than in the compound Poisson model and provide additional insight. For the case u=0, expressions for the expected present value of a payment of 1 at ruin and the expected time of ruin (given that ruin occurs) are obtained. A discrete version of Dickson’s formula is provided.

Keywords :

Ruin probability , Risk theory , Deficit at ruin , time of ruin , Compound binomial model

Journal title :

Insurance Mathematics and Economics

Journal title :

Insurance Mathematics and Economics

Serial Year :

2000

Link To Document :