Ruin probabilities as recurrence sequences in a discrete-time risk process

MaRDI QIDQ6426142zbMATH OpenFDO

Authors David J. Santana, Luis Rincón

Publication date 10 February 2023

Abstract: We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support $0,1,ldots,m$, for some integer $mge2$. The method requires to find the zeroes of an $m$ degree polynomial and to solve a system of $m$ linear equations. An approximation is derived from the exact ruin formula and several numerical results and plots are provided as examples.

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