Multiseasonal discrete-time risk model revisited

DOI10.1007/S10986-023-09613-ZarXiv2207.03196OpenAlexW4390125627MaRDI QIDQ6185041FDOQ6185041

Authors: Andrius Grigutis, Jonas Jankauskas, Jonas Šiaulys 

Publication date: 29 January 2024

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: In this work we set up the distribution function of $mathcalM:=su{p}_{ngeqslant1}su{m}_{i=1}^n(Z_i-1)$, where the random walk $su{m}_{i=1}^n{Z}_i,ninmathbbN,$ is generated by $N$ periodically occurring distributions and the integer-valued and non-negative random variables $Z_1,,Z_2,,ldots$ are independent. The considered random walk generates so-called multi seasonal discrete time risk model, and a known distribution of random variable $mathcalM$ enables to calculate ultimate time ruin or survival probability. Verifying obtained theoretical statements we demonstrate several computational examples for survival probability $mathbbP(mathcalM<u)$ when $N=2,,3$ or $10$.

Full work available at URL: https://arxiv.org/abs/2207.03196

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zbMATH Keywords

random walkgenerating functionsurvival probabilitybranching processinitial valuesdiscrete-time risk model

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (3)

• Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model
• Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory
• The limit law of maximum of discrete partial-sums distribution

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