Ruin probability analysis in geometric inhomogeneous claims case
Articles
Eugenija Bieliauskienė
Vilniaus universitetas
Published 2011-12-15
https://doi.org/10.15388/LMR.2011.ot01
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Keywords

discrete time risk model
finite time ruin probability
inhomogeneous claims
geometric distribution

How to Cite

Bieliauskienė, E. (2011) “Ruin probability analysis in geometric inhomogeneous claims case”, Lietuvos matematikos rinkinys, 52(proc. LMS), pp. 274–279. doi:10.15388/LMR.2011.ot01.

Abstract

The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters. Some quantitave examples are also given.

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