FINITE-TIME RUIN PROBABILITY IN THE INHOMOGENEOUS CLAIM CASE

被引：0

作者：

Blazevicius, K. ^{[1
]}

Bieliauskiene, E. ^{[1
]}

Siaulys, J. ^{[1
,2
]}

机构：

[1] Vilnius State Univ, LT-03225 Vilnius, Lithuania

[2] Inst Math & Informat, LT-08663 Vilnius, Lithuania

来源：

LITHUANIAN MATHEMATICAL JOURNAL | 2010年 / 50卷 / 03期

关键词：

discrete-time risk model; inhomogeneous claims; finite-time ruin probability; RISK MODEL; HORIZON;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued claims and nonconstant premium payments are considered. Some numerical examples of finite-time ruin probability calculation are presented.

引用

页码：260 / 270

页数：11

共 16 条

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