RUIN PROBABILITIES IN THE COMPOUND BINOMIAL MODEL

被引：68
|
作者：
WILLMOT, GE
机构：
[1] Department of Statistics and Actuarial Science, University of Waterloo, Waterloo
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 12卷 / 02期
关键词：
COMPOUND BINOMIAL; RUIN PROBABILITIES; LAGRANGE EXPANSION; GENERATING FUNCTIONS; RANDOM WALK; GAMBLER RUIN; COMPOUND GEOMETRIC; MIXED POISSON DISTRIBUTION;
D O I：
10.1016/0167-6687(93)90823-8
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper explicit formulas are derived for finite time ruin probabilities in the discrete time and state-space compound binomial model using the technique of generating functions. Ultimate ruin probabilities are then obtained, and a close connection is established with the ultimate ruin probabilities in the usual compound Poisson model when the claim severity distribution is a (truncated) mixed Poisson distribution.
引用
收藏
页码：133 / 142
页数：10
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