Approximations of the ruin probability in a discrete time risk model
Open Access
- 4 August 2020
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 7 (3), 221-243
- https://doi.org/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
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