Lietuvos Matematikos Rinkinys (Dec 2010)

Infinite time ruin probability in inhomogeneous claims case

  • Eugenija Bieliauskienė,
  • Jonas Šiaulys

DOI
https://doi.org/10.15388/LMR.2010.64
Journal volume & issue
Vol. 51, no. proc. LMS

Abstract

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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.

Keywords