On Distributions of Runs in the Compound Binomial Risk Model

Serkan Eryilmaz ()
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Serkan Eryilmaz: Atilim University

Methodology and Computing in Applied Probability, 2014, vol. 16, issue 1, 149-159

Abstract: Abstract This paper is concerned with the distribution of runs associated with claim indicators in a compound binomial risk model. We study the total number of claims, the longest run without claim, the shortest run without claim and the total number of runs up to a fixed period before the occurrence of a ruin. These quantities are potentially useful for an investment strategy of an insurance company and for understanding the behavior of a specific portfolio over time. We obtain recursive equations for the exact distributions of these random variables. We also illustrate the theoretical results with numerical computations.

Keywords: Compound binomial model; Recurrence formula; Longest run; Shortest run; 62E15; 91B30 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-012-9303-x

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