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

DOI10.15559/22-VMSTA209zbMATH Open1499.91022OpenAlexW4285229906MaRDI QIDQ2103305FDOQ2103305

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

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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)

Cites Work

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

Cited In (3)

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

Uses Software

• Mathematica
• Python

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