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.
Bazyari, A. (2022). Ruin related quantities in a class of state-space compound binomial models. Journal of Statistical Modelling: Theory and Applications, 3(2), 51-70. doi: 10.22034/jsmta.2023.19051.1066
MLA
Abouzar Bazyari. "Ruin related quantities in a class of state-space compound binomial models", Journal of Statistical Modelling: Theory and Applications, 3, 2, 2022, 51-70. doi: 10.22034/jsmta.2023.19051.1066
HARVARD
Bazyari, A. (2022). 'Ruin related quantities in a class of state-space compound binomial models', Journal of Statistical Modelling: Theory and Applications, 3(2), pp. 51-70. doi: 10.22034/jsmta.2023.19051.1066
VANCOUVER
Bazyari, A. Ruin related quantities in a class of state-space compound binomial models. Journal of Statistical Modelling: Theory and Applications, 2022; 3(2): 51-70. doi: 10.22034/jsmta.2023.19051.1066
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