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Document Details : Title: Mathematical Fun with the Compound Binomial Process Author(s): GERBER, Hans U. Journal: ASTIN Bulletin Volume: 18 Issue: 2 Date: November 1988 Pages: 161-168 DOI: 10.2143/AST.18.2.2014949 Abstract : The compound binomial model is a discrete time analogue (or approximation) of the compound Poisson model of classical risk theory. In this paper, several results are derived for the probability of ruin as well as for the joint distribution of the surpluses immediately before and at ruin. The starting point of the probabilistic arguments are two series of random variables with a surprisingly simple expectation (Theorem 1) and a more classical result of the theory random walks (Theorem 2) that is best proved by a martingale argument. |
