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Approximations of the ruin probability in a discrete time risk model

David J. Santana, Luis Rincón
Published: 4 August 2020
 by  VTeX
Modern Stochastics: Theory and Applications pp 221-243; doi:10.15559/20-vmsta158

Abstract: Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Approximations of the ruin probability in a discrete time risk model, Authors: David J. Santana, Luis Rincón , Based on a discrete version of the Pollaczeck–Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber–Dickson risk model is provided when claims follow a negative binomial mixture distribution. The result is then extended for claims with a mixed Poisson distribution. The formula obtained allows for some approximation procedures. Several examples are provided along with the numerical evidence of the accuracy of the approximations.
Keywords: model / claims / discrete / publishing / Ultimate / ruin probability / Luis / Dickson / stochastics
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