Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences

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dc.contributor.authorGebizlioğlu, Ömer Lütfi
dc.contributor.authorGebizlioğlu, Ömer Lütfi
dc.date.accessioned2019-06-27T08:01:23Z
dc.date.available2019-06-27T08:01:23Z
dc.date.issued2017
dc.departmentFakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.description.abstractIn this paper we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular we obtain expressions for the finite time non-ruin probability and the joint distribution of the time to ruin the surplus immediately before ruin and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.en_US]
dc.identifier.citation4
dc.identifier.doi10.1016/j.cam.2016.09.025en_US
dc.identifier.endpage242
dc.identifier.issn0377-0427en_US
dc.identifier.issn1879-1778en_US
dc.identifier.issn0377-0427
dc.identifier.issn1879-1778
dc.identifier.scopus2-s2.0-84991607081en_US
dc.identifier.scopusqualityQ2
dc.identifier.startpage235en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12469/362
dc.identifier.urihttps://doi.org/10.1016/j.cam.2016.09.025
dc.identifier.volume313en_US
dc.identifier.wosWOS:000390501600016en_US
dc.identifier.wosqualityQ1
dc.institutionauthorGebizlioğlu, Ömer Lütfien_US
dc.language.isoenen_US
dc.publisherElsevier Scienceen_US
dc.relation.journalJournal of Computational and Applied Mathematicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCompound binomial modelen_US
dc.subjectDependenceen_US
dc.subjectExchangeabilityen_US
dc.subjectRuin theoryen_US
dc.titleComputing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable 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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