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The Probability of Eventual Ruin in the Compound Binomial Model

Published online by Cambridge University Press:  07 February 2018

Elias S.W. Shiu
Elias S.W. Shiu*
Affiliation:
University of Manitoba, Canada
*
Department of Actuarial and Management Sciences, University of Manitoba, Winnipeg, Manitoba R3T 2N2, Canada.
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Abstract

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This paper derives several formulas for the probability of eventual ruin in a discrete-time model. In this model, the number of claims process is assumed to be binomial. The claim amounts, premium rate and initial surplus are assumed to be integer-valued.

Keywords

Compound binomial processProbability of eventual ruinUltimate ruin probabilityInfinite-time ruin probabilityRisk theoryRandom walkGambler's ruinLagrange series
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue 2 , November 1989 , pp. 179 - 190
Copyright
Copyright © International Actuarial Association 1989

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