Finite-time ruin probability in the inhomogeneous claim case

This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued claims and nonconstant premium payments are consi...

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Veröffentlicht in:	Lithuanian mathematical journal 2010-07, Vol.50 (3), p.260-270
Hauptverfasser:	Blaževičius, K., Bieliauskienė, E., Šiaulys, J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Actuarial Sciences Mathematics Mathematics and Statistics Number Theory Ordinary Differential Equations Probability Theory and Stochastic Processes
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued claims and nonconstant premium payments are considered. Some numerical examples of finite-time ruin probability calculation are presented.
ISSN:	0363-1672 1573-8825
DOI:	10.1007/s10986-010-9084-2