| Title |
Infinite time ruin probability in inhomogeneous claims case |
| Translation of Title |
Begalinio laiko bankroto tikimybė skirtingai pasiskirsčiusioms žaloms. |
| Authors |
Bieliauskienė, Eugenija ; Šiaulys, Jonas |
| DOI |
10.15388/LMR.2010.64 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. LMD darbai.. Vilnius : Matematikos ir informatikos institutas. 2010, t. 51, p. 352-356.. ISSN 0132-2818 |
| Keywords [eng] |
Discrete time risk model ; Infinite time ruin probability ; Inhomogeneous claims |
| Abstract [eng] |
The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy. |
| Published |
Vilnius : Matematikos ir informatikos institutas |
| Type |
Journal article |
| Language |
English |
| Publication date |
2010 |
| CC license |
|
