Approximations of the ruin probability in a discrete time risk model

被引：7

作者：

Santana, David J. ^{[1
]}

Rincon, Luis ^{[2
]}

机构：

[1] UJAT, Div Acad Ciencias Basicas, Villahermosa, Mexico

[2] Univ Nacl Autonoma Mexico, Dept Matemat, Fac Ciencias, Mexico City, DF, Mexico

来源：

MODERN STOCHASTICS-THEORY AND APPLICATIONS | 2020年 / 7卷 / 03期

关键词：

Ruin probability; risk process; MIXTURES;

D O I：

10.15559/20-VMSTA158

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：221 / 243

页数：23

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