The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences
| Autor: | Serkan Eryilmaz, Omer L. Gebizlioglu |
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| Přispěvatelé: | Gebizlioǧlu, Ömer Lütfi |
| Rok vydání: | 2018 |
| Předmět: |
Exchangeable random variables
Economic capital Beta-binomial distribution Maximum surplus 010103 numerical & computational mathematics Management Science and Operations Research 01 natural sciences General Business Management and Accounting 010104 statistics & probability Risk model Discrete time and continuous time Modeling and Simulation Statistics Interval (graph theory) 0101 mathematics Finite time Compound binomial model Dependence Risk reserve Mathematics |
| Zdroj: | Applied Stochastic Models in Business and Industry. 35:858-870 |
| ISSN: | 1526-4025 1524-1904 |
| Popis: | This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution the computation of the minimum surplus distribution is given. Asset and risk management–oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model for which claim occurrences are independent and identically distributed. © 2018 John Wiley & Sons Ltd. |
| Databáze: | OpenAIRE |
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