| Title |
The exponential estimate of the ultimate ruin probability for the non-homogeneous renewal risk model / |
| Authors |
Kizinevič, Edita ; Šiaulys, Jonas |
| DOI |
10.3390/risks6010020 |
| Full Text |
|
| Is Part of |
Risks.. Basel : MDPI AG. 2018, Vol. 6, Iss. 1, art. no. 20, [17 p.].. ISSN 2227-9091 |
| Keywords [eng] |
non-homogeneous model ; renewal risk model ; ruin probability ; net profit condition ; Lundberg's inequality |
| Abstract [eng] |
In this work, the non-homogeneous risk model is considered. In such a model, claims and inter-arrival times are independent but possibly non-identically distributed. The easily verifiable conditions are found such that the ultimate ruin probability of the model satisfies the exponential estimate exp{−ϱu} for all values of the initial surplus u⩾0. Algorithms to estimate the positive constant ϱ are also presented. In fact, these algorithms are the main contribution of this work. Sharpness of the derived inequalities is illustrated by several numerical examples. |
| Published |
Basel : MDPI AG |
| Type |
Journal article |
| Language |
English |
| Publication date |
2018 |
