Joint and supremum distributions in the compound binomial model with Markovian environment

被引：0
|
作者：
YU Yibin ZHANG Lixin ZHANG Yi Department of Mathematics Zhejiang University Hangzhou China [310027 ]
机构：
来源：
Applied Mathematics:A Journal of Chinese Universities(Series B) | 2011年 / 26卷 / 03期
关键词：
D O I：
暂无
中图分类号：
O211.62 [马尔可夫过程];
学科分类号：
摘要：
In this paper, we study the compound binomial model in Markovian environment, which is proposed by Cossette, et al. (2003). We obtain the recursive formula of the joint distributions of T,X(T-1) and |X(T)|(i.e., the time of ruin, the surplus before ruin and the deficit at ruin) by the method of mass function of up-crossing zero points, as given by Liu and Zhao (2007). By using the same method, the recursive formula of supremum distribution is obtained. An example is included to illustrate the results of the model.
引用
收藏
页码：265 / 279
页数：15
相关论文
共 50 条
  • [1] Joint and supremum distributions in the compound binomial model with Markovian environment
    YU Yi-bin ZHANG Li-xin ZHANG Yi Department of Mathematics
    Applied Mathematics:A Journal of Chinese Universities, 2011, (03) : 265 - 279
  • [2] Joint and supremum distributions in the compound binomial model with Markovian environment
    Yi-bin Yu
    Li-xin Zhang
    Yi Zhang
    Applied Mathematics-A Journal of Chinese Universities, 2011, 26 : 265 - 279
  • [3] Joint and supremum distributions in the compound binomial model with Markovian environment
    Yu Yi-bin
    Zhang Li-xin
    Zhang Yi
    APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B, 2011, 26 (03) : 265 - 279
  • [4] Compound binomial risk model in a Markovian environment
    Cossette, H
    Landriault, D
    Marceau, É
    INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (02): : 425 - 443
  • [5] Ruin probabilities in the compound binomial risk model in a Markovian environment.
    Cossette, H
    Landriault, D
    Marceau, É
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 427 - 427
  • [6] Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
    Xiao, Lin
    APPLIED MATHEMATICS AND COMPUTATION, 2022, 424
  • [7] Joint distributions of some actuarial random vectors in the compound binomial model
    Liu, Guoxin
    Zhao, Jinyan
    INSURANCE MATHEMATICS & ECONOMICS, 2007, 40 (01): : 95 - 103
  • [8] JOINT DISTRIBUTIONS OF SOME RUIN RELATED QUANTITIES IN THE COMPOUND BINOMIAL RISK MODEL
    Li, Shuanming
    Huang, Fengjing
    Jin, Can
    STOCHASTIC MODELS, 2013, 29 (04) : 518 - 539
  • [9] Compound Binomial Model with Batch Markovian Arrival Process
    Jin, Fang
    Wu, Chengxun
    Ou, Hui
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
  • [10] On Distributions of Runs in the Compound Binomial Risk Model
    Serkan Eryilmaz
    Methodology and Computing in Applied Probability, 2014, 16 : 149 - 159
12345