Lietuvos Matematikos Rinkinys (Dec 2011)

Ruin probability analysis in geometric inhomogeneous claims case

  • Eugenija Bieliauskienė

DOI
https://doi.org/10.15388/LMR.2011.ot01
Journal volume & issue
Vol. 52, no. proc. LMS

Abstract

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The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters. Some quantitave examples are also given.

Keywords