On the extremes of surplus process in compound binomial model
Yükleniyor...
Tarih
2012
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Selcuk University Research Center of Applied Mathematics
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this paper we study the minimum and maximum levels of surplus process in compound binomial model. These extremes are potentially useful for an investment strategy and .nancial arrangements of an insurance company. We obtain recursive equations for the marginal as well as joint distributions of the minimum and maximum values of the surplus process occurred up to period n under the condition that the insurance company survives at time n. We present illustrative computational results for geometric claim size distribution.
Açıklama
URL: http://sjam.selcuk.edu.tr/sjam/article/view/99
Anahtar Kelimeler
Compound binomial model, Recurrence formula, Surplus process, Bileşik ikili model, Yineleme formülü, Fazla işlem
Kaynak
Selcuk Journal of Applied Mathematics
WoS Q Değeri
Scopus Q Değeri
Cilt
13
Sayı
Künye
Eryılmaz, S., Tuncel, A., Tank, F. (2012). On the extremes of surplus process in compound binomial model. Selcuk Journal of Applied Mathematics, 13 (2), 69-78.
