Ruin related quantities in a class of state-space compound binomial models

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Bazyari Abouzar

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Journal Paper

Paper Information

Journal: JOURNAL OF STATISTICAL MODELLING: THEORY AND APPLICATIONS Year:2022 | Volume:3 | Issue:2 Page(s): 51-70

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Information Journal Paper

Title

Ruin related quantities in a class of state-space compound binomial models

Author(s)

Bazyari Abouzar | Issue Writer Certificate

Keywords

Compound binomial risk model

Homogenous claim occurrences

Ruin probability

Time to ruin

Abstract

The main focus of this paper is to extend the analysis of some ruin related problems to a class of state-space compound binomial risk models for a sequence of independent and identically distributed random variables of interclaim times when the claim occurrences are homogeneous‎. ‎First‎, ‎we obtain the mass function of a defective renewal sequence of random {Fn }n≥0 -stopping times‎, ‎using the compound binomial of aggregate claim amount together the net profit condition‎, ‎and compute the infinite time ruin probability with Markov property of risk process‎. ‎Moreover‎, ‎we derive the distribution of the time to ruin among many random variables associated with ruin using the convolution of claim amount and Lagrange’s implicit function theorem‎. ‎Lastly‎, ‎the theoretical results are illustrated with numerical computations‎.

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