Further analysis of ruin in a discrete risk model

zbMATH Open1174.62559MaRDI QIDQ5455563FDOQ5455563

Yan Liu, Yinghui Tang, Bing-Yuan Pu

Publication date: 4 April 2008

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zbMATH Keywords

deficit at ruinimmediate surplus before ruinultimate probability of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model
• An improved recursive solution to the ruin probability in a classical discrete risk model. Its implementation and comparison
• The asymptotic formulas and Lundberg upper bound in fully discrete risk model

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