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

DOI10.15559/15-VMSTA45zbMATH Open1349.91137arXiv1601.01153OpenAlexW3098322017MaRDI QIDQ340803FDOQ340803

Agneška Korvel, Andrius Grigutis, Jonas Šiaulys

Publication date: 15 November 2016

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

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.

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)

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Cited In (6)

• Note on the bi-risk discrete time risk model with income rate two
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• 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

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