| Abstract [eng] |
In this work, a nonhomogeneus discrete time risk model is considered. We assume that claims repeat every three time units, i.e. claims distributions coincide at times {1, 4, 7, ...}, at times {2, 5, 8, ...} as well as {3, 6, 9, ...}. An algorithm for calculating the exact values of a separate case of Gerber-Shiu function is found in this work. In a separate case, Gerber-Shiu function has the form /psi_{/delta} = E(e^{−/delta T} 1{T</infty}), where T is the time of ruin and \delta is a nonnegative force of interest. Proposed algorithm and theoretical results are illustrated by numerical examples. |
