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Some Comments on the Compound Binomial Model

  • David C.M. Dickson (a1)

Abstract

We show how ruin probabilities for the classical continuous time compound Poisson model can be approximated by ruin probabilities for a compound binomial model. We also discuss ruin related results for a compound binomial model with geometric claim amounts.

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Copyright

Corresponding author

Centre for Actuarial Studies, Faculty of Economics and Commerce, The University of Melbourne, Parkville, Victoria 3052, Australia.

References

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De Vylder, F. and Goovaerts, M.J. (1988) Recursive calculation of finite-time ruin probabilities. Insurance: Mathematics and Economics 7, 18.
Dickson, D.C.M. and Waters, H. R. (1991) Recursive calculation of survival probabilities. ASTIN Bulletin 21, 199221.
Dickson, D. C. M. (1992) On the distribution of the surplus prior to ruin. Insurance: Mathematics and Economics 11, 191207.
Gerber, H. U. (1979) An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monograph Series No. 8. Distributed by R. Irwin, Homewood, IL.
Gerber, H. U. (1988) Mathematical fun with the compound binomial process. ASTIN Bulletin 18, 161168.
Shiu, E.S.W. (1989) The probability of eventual ruin in the compound binomial model. ASTIN Bulletin 19, 179190.
Willmot, G.E. (1992) Ruin probabilities in the compound binomial model. Insurance: Mathematics and Economics 12, 133142.

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