Title of article :
On the Extremes of Surplus Process in Compound Binomial Model
Author/Authors :
Eryilmaz, Serkan Atilim University - Department of Industrial Engineering, Turkiye , Tuncel, Altan Kırıkkale University - Faculty of Science and Arts - Department of Statistics Yahsihan, Turkiye , Tank, Fatih Ankara Üniversitesi - Faculty of Science - Department of Statistics, Turkiye
Abstract :
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.
Keywords :
Compound binomial model , Recurrence formula , Surplus process
Journal title :
Selcuk Journal of Applied Mathematics
Journal title :
Selcuk Journal of Applied Mathematics
