Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
| dc.contributor.author | Eryilmaz, Serkan | |
| dc.contributor.author | Gebizlioğlu, Ömer Lütfi | |
| dc.contributor.author | Gebizlioğlu, Ömer Lütfi | |
| dc.contributor.other | International Trade and Finance | |
| dc.date.accessioned | 2019-06-27T08:01:23Z | |
| dc.date.available | 2019-06-27T08:01:23Z | |
| dc.date.issued | 2017 | |
| dc.department | Fakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümü | en_US |
| dc.description.abstract | In 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.citationcount | 4 | |
| dc.identifier.doi | 10.1016/j.cam.2016.09.025 | en_US |
| dc.identifier.endpage | 242 | |
| dc.identifier.issn | 0377-0427 | en_US |
| dc.identifier.issn | 1879-1778 | en_US |
| dc.identifier.issn | 0377-0427 | |
| dc.identifier.issn | 1879-1778 | |
| dc.identifier.scopus | 2-s2.0-84991607081 | en_US |
| dc.identifier.scopusquality | Q2 | |
| dc.identifier.startpage | 235 | en_US |
| dc.identifier.uri | https://hdl.handle.net/20.500.12469/362 | |
| dc.identifier.uri | https://doi.org/10.1016/j.cam.2016.09.025 | |
| dc.identifier.volume | 313 | en_US |
| dc.identifier.wos | WOS:000390501600016 | en_US |
| dc.identifier.wosquality | Q1 | |
| dc.institutionauthor | Gebizlioğlu, Ömer Lütfi | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Science | en_US |
| dc.relation.journal | Journal of Computational and Applied Mathematics | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.scopus.citedbyCount | 6 | |
| dc.subject | Compound binomial model | en_US |
| dc.subject | Dependence | en_US |
| dc.subject | Exchangeability | en_US |
| dc.subject | Ruin theory | en_US |
| dc.title | Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences | en_US |
| dc.type | Article | en_US |
| dc.wos.citedbyCount | 5 | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 5a5c8816-1812-437a-81bb-7e07bf97810e | |
| relation.isAuthorOfPublication.latestForDiscovery | 5a5c8816-1812-437a-81bb-7e07bf97810e | |
| relation.isOrgUnitOfPublication | 16202dfd-a149-4884-98fb-ada5f8c12918 | |
| relation.isOrgUnitOfPublication.latestForDiscovery | 16202dfd-a149-4884-98fb-ada5f8c12918 |
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