Ruin probability in the three-seasonal discrete-time risk model

DOI10.15559/15-VMSTA45MaRDI QIDQ340803zbMATH OpenOpenAlexFDO

Authors Andrius Grigutis, Agneška Korvel, Jonas Šiaulys

Publication date 15 November 2016

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

Full work available at URL https://arxiv.org/abs/1601.01153

zbMATH Keywords

finite-time ruin probabilityinhomogeneous modelthree-seasonal modelultimate ruin probability

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Abstract: This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $1,4,7,ldots$, at times $2,5,8,ldots$, and at times $3,6,9,ldots$. We present the recursive formulas to calculate the finite-time and ultimate ruin probabilities. We illustrate the theoretical results by several numerical examples.

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Cites work

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Cited in

(10)

• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
• Note on the bi-risk discrete time risk model with income rate two
• Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Bi-seasonal discrete time risk model
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• Multiseasonal discrete-time risk model revisited
• On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model
• Bi-seasonal discrete time risk model with income rate two
• Ruin problems for a discrete time risk model with non-homogeneous conditions

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