Bi-seasonal discrete time risk model with income rate two

DOI10.1080/03610926.2022.2026962MaRDI QIDQ6164697zbMATH OpenOpenAlexFDO

Authors Andrius Grigutis

Publication date 28 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.14771

zbMATH Keywords

random walkmaximum distributionsurvival possibilitybi-seasonal risk model

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: This paper proceeds an approximate calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas and v{S}iaulys. In general, discrete time and related risk models deal with possibility for a certain version of random walk to hit a certain threshold at least once in time. In this research, the mentioned threshold is the line $u+2t$ and random walk consists from two interchangeably occurring independent but not necessarily identically distributed random variables. Most of proved theoretical statements are illustrated via numerical calculations. Also, there are raised a couple of conjectures on a certain recurrent determinants non-vanishing.

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Cited in

(3)

• 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
• On a Risk Model With Dual Seasonalities

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