Hostname: page-component-7dd5485656-hw7sx Total loading time: 0 Render date: 2025-10-29T23:32:57.841Z Has data issue: false hasContentIssue false
  • English
  • Français

Some Comments on the Compound Binomial Model

Published online by Cambridge University Press:  29 August 2014

David C.M. Dickson
David C.M. Dickson*
Affiliation:
The University of Melbourne
*
Centre for Actuarial Studies, Faculty of Economics and Commerce, The University of Melbourne, Parkville, Victoria 3052, Australia.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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.

Keywords

Ruincompound binomial modelrecursive calculation

Information

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 24 , Issue 1 , May 1994 , pp. 33 - 45
Copyright
Copyright © International Actuarial Association 1994

References

REFERENCES

De Vylder, F. and Goovaerts, M.J. (1988) Recursive calculation of finite-time ruin probabilities. Insurance: Mathematics and Economics 7, 1–8.Google Scholar
Dickson, D.C.M. and Waters, H. R. (1991) Recursive calculation of survival probabilities. ASTIN Bulletin 21, 199–221.CrossRefGoogle Scholar
Dickson, D. C. M. (1992) On the distribution of the surplus prior to ruin. Insurance: Mathematics and Economics 11, 191–207.Google Scholar
Gerber, H. U. (1979) An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monograph Series No. 8. Distributed by R. Irwin, Homewood, IL.Google Scholar
Gerber, H. U. (1988) Mathematical fun with the compound binomial process. ASTIN Bulletin 18, 161–168.CrossRefGoogle Scholar
Shiu, E.S.W. (1989) The probability of eventual ruin in the compound binomial model. ASTIN Bulletin 19, 179–190.CrossRefGoogle Scholar
Willmot, G.E. (1992) Ruin probabilities in the compound binomial model. Insurance: Mathematics and Economics 12, 133–142.Google Scholar