Compound Binomial Model with Batch Markovian Arrival Process
| Autor: | Fang Jin, Hui Ou, Chengxun Wu |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
0209 industrial biotechnology
Article Subject General Mathematics General Engineering Mathematics::Optimization and Control Recursion (computer science) 02 engineering and technology Function (mathematics) Engineering (General). Civil engineering (General) 01 natural sciences Binomial distribution 010104 statistics & probability 020901 industrial engineering & automation Computer Science::Systems and Control QA1-939 Dividend Applied mathematics Markovian arrival process 0101 mathematics TA1-2040 Value (mathematics) Mathematics |
| Zdroj: | Mathematical Problems in Engineering, Vol 2020 (2020) |
| ISSN: | 1563-5147 |
| Popis: | A compound binomial model with batch Markovian arrival process was studied, and the specific definitions are introduced. We discussed the problem of ruin probabilities. Specially, the recursion formulas of the conditional finite-time ruin probability are obtained and the numerical algorithm of the conditional finite-time nonruin probability is proposed. We also discuss research on the compound binomial model with batch Markovian arrival process and threshold dividend. Recursion formulas of the Gerber–Shiu function and the first discounted dividend value are provided, and the expressions of the total discounted dividend value are obtained and proved. At the last part, some numerical illustrations were presented. |
| Databáze: | OpenAIRE |
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