Note on the bi-risk discrete time risk model with income rate two

DOI10.15559/22-VMSTA209MaRDI QIDQ2103305zbMATH OpenOpenAlexFDO

Authors Andrius Grigutis, Artur Nakliuda

Publication date 13 December 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15559/22-vmsta209

zbMATH Keywords

discrete timerecursive calculationbi-risk modelfinite-time survival probabilityultimate time survival probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Risk models (general) (91B05)

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Cites work

• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• About some controllability properties of linear discrete-time systems in probabilistic metric spaces
• Approximations of the ruin probability in a discrete time risk model
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Bi-seasonal discrete time risk model
• Bi-seasonal discrete time risk model with income rate two
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Counterfactual explanation of machine learning survival models
• Distributions on the circle group
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Finite-time ruin probability in the inhomogeneous claim case
• Local probabilities of randomly stopped sums of power-law lattice random variables
• Mathematical fun with ruin theory
• Recursive calculation of finite-time ruin probabilities
• Ruin probability in the three-seasonal discrete-time risk model
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(3)

• On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model
• Bi-seasonal discrete time risk model
• Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory

Describes a project that uses

Uses Software

• Mathematica
• Python

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