| Title |
Ruin probability in the three-seasonal discrete-time risk model / |
| Authors |
Grigutis, Andrius ; Korvel, Agneška ; Šiaulys, Jonas |
| DOI |
10.15559/15-VMSTA45 |
| Full Text |
|
| Is Part of |
Modern stochastics: theory and applications / Vilnius university, Taras Shevchenko National University of Kyiv ; editorial board: co-editors-in-chief K. Kubilius, Yu. Mishura.. Vilnius : VTeX. 2015, Vol. 2, No. 4, p. 421-441.. ISSN 2351-6054 |
| Keywords [eng] |
Inhomogeneous model ; three-seasonal model ; finite-time ruin probability, |
| Abstract [eng] |
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times {1, 4, 7, . . .}, at times {2, 5, 8, . . .}, and at times {3, 6, 9, . . .}. We present the recursive formulas to calculate the finite-time and ultimate ruin probabilities. We illustrate the theoretical results by several numerical examples. |
| Published |
Vilnius : VTeX |
| Type |
Journal article |
| Language |
English |
| Publication date |
2015 |
