Multiseasonal discrete-time risk model revisited

DOI10.1007/S10986-023-09613-ZMaRDI QIDQ6185041zbMATH OpenOpenAlexFDO

Authors Andrius Grigutis, Jonas Jankauskas, Jonas Šiaulys

Publication date 29 January 2024

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

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

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)

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 $10$.

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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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