Modern Stochastics: Theory and Applications (Oct 2018)

Ruin probability for the bi-seasonal discrete time risk model with dependent claims

  • Olga Navickienė,
  • Jonas Sprindys,
  • Jonas Šiaulys

DOI
https://doi.org/10.15559/18-VMSTA118
Journal volume & issue
Vol. 6, no. 1
pp. 133 – 144

Abstract

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The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.

Keywords