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On a Class of Discrete Time Renewal Risk Models
compound binomial model is derived in Cheng et al. (2000) using martingale techniques and a duality argument ... Andersen risk process U(n) = u+ n− N(n)∑ i=1 Xi , n = 1, 2, . . . , where u ∈ N is the initial reserve ...- Authors: Shuanming Li
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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On the Probability of Ruin in a Markov-modulated Risk Model
corresponding surplus process {R(t); t ≥ 0} is then R(t) = u+ C(t)− N(t)∑ n=1 Xn , t ≥ 0 , (3) 3 where C(t) ... aggregate premium received during interval (0, t] and u (≥ 0) is the initial reserve. Let Un be the time at ...- Authors: Yi Lu, Shuanming Li
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Markov Chain