Infinite time ruin probability in inhomogeneous claims case

Eugenija  Bieliauskienė; Jonas  Šiaulys

doi:10.15388/LMR.2010.64

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Eugenija Bieliauskienė

Vilnius University

Jonas Šiaulys

Vilnius University

Published 2010-12-21

https://doi.org/10.15388/LMR.2010.64

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Keywords

discrete time risk model
infinite time ruin probability
inhomogeneous claims

How to Cite

Bieliauskienė, E. and Šiaulys, J. (2010) “Infinite time ruin probability in inhomogeneous claims case”, Lietuvos matematikos rinkinys, 51(proc. LMS), pp. 352–356. doi:10.15388/LMR.2010.64.

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Abstract

The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.

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