The Maximum Surplus in a Finite-Time Interval for a Discrete-Time Risk Model With Exchangeable Dependent Claim Occurrences

dc.contributor.authorGebizlioğlu, Ömer Lütfi
dc.contributor.authorEryilmaz, Serkan
dc.date.accessioned2019-06-28T11:12:04Z
dc.date.available2019-06-28T11:12:04Z
dc.date.issued2019
dc.departmentFakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.description.abstractThis paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution the computation of the minimum surplus distribution is given. Asset and risk management–oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model for which claim occurrences are independent and identically distributed. © 2018 John Wiley & Sons Ltd.en_US]
dc.identifier.citation1
dc.identifier.doi10.1002/asmb.2415en_US
dc.identifier.endpage870
dc.identifier.issn1524-1904en_US
dc.identifier.issn1524-1904
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85056380951en_US
dc.identifier.startpage858en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12469/1772
dc.identifier.urihttps://doi.org/10.1002/asmb.2415
dc.identifier.volume35en_US
dc.identifier.wosWOS:000471712700029en_US
dc.identifier.wosqualityQ3
dc.institutionauthorGebizlioğlu, Ömer Lütfien_US
dc.institutionauthorGebizlioğlu, Ömer Lütfi
dc.language.isoenen_US
dc.publisherJohn Wiley and Sons Ltden_US
dc.relation.journalApplied Stochastic Models in Business and Industryen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectBeta-binomial distributionen_US
dc.subjectCompound binomial modelen_US
dc.subjectDependenceen_US
dc.subjectEconomic capitalen_US
dc.subjectExchangeable random variablesen_US
dc.subjectMaximum surplusen_US
dc.subjectRisk reserveen_US
dc.titleThe Maximum Surplus in a Finite-Time Interval for a Discrete-Time Risk Model With Exchangeable Dependent Claim Occurrencesen_US
dc.typeArticleen_US
dspace.entity.typePublication
relation.isAuthorOfPublication5a5c8816-1812-437a-81bb-7e07bf97810e
relation.isAuthorOfPublication.latestForDiscovery5a5c8816-1812-437a-81bb-7e07bf97810e

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