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

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.

Bibliographic Details
Main Authors:	Olga Navickienė, Jonas Sprindys, Jonas Šiaulys
Format:	Article
Language:	English
Published:	VTeX 2018-10-01
Series:	Modern Stochastics: Theory and Applications
Subjects:	Bi-seasonal model discrete time risk model ruin probability recursive formula dependent claims
Online Access:	https://www.vmsta.org/doi/10.15559/18-VMSTA118

id	doaj-e40c80a4d0274d539b2170ba02d10726
record_format	Article
spelling	doaj-e40c80a4d0274d539b2170ba02d107262020-11-24T21:54:42ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542018-10-016113314410.15559/18-VMSTA118Ruin probability for the bi-seasonal discrete time risk model with dependent claimsOlga Navickienė0Jonas Sprindys1Jonas Šiaulys2Institute of Mathematics, Vilnius University, Naugarduko 24, Vilnius LT-03225, LithuaniaInstitute of Mathematics, Vilnius University, Naugarduko 24, Vilnius LT-03225, LithuaniaInstitute of Mathematics, Vilnius University, Naugarduko 24, Vilnius LT-03225, LithuaniaThe 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.https://www.vmsta.org/doi/10.15559/18-VMSTA118Bi-seasonal modeldiscrete time risk modelruin probabilityrecursive formuladependent claims
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Olga Navickienė Jonas Sprindys Jonas Šiaulys
spellingShingle	Olga Navickienė Jonas Sprindys Jonas Šiaulys Ruin probability for the bi-seasonal discrete time risk model with dependent claims Modern Stochastics: Theory and Applications Bi-seasonal model discrete time risk model ruin probability recursive formula dependent claims
author_facet	Olga Navickienė Jonas Sprindys Jonas Šiaulys
author_sort	Olga Navickienė
title	Ruin probability for the bi-seasonal discrete time risk model with dependent claims
title_short	Ruin probability for the bi-seasonal discrete time risk model with dependent claims
title_full	Ruin probability for the bi-seasonal discrete time risk model with dependent claims
title_fullStr	Ruin probability for the bi-seasonal discrete time risk model with dependent claims
title_full_unstemmed	Ruin probability for the bi-seasonal discrete time risk model with dependent claims
title_sort	ruin probability for the bi-seasonal discrete time risk model with dependent claims
publisher	VTeX
series	Modern Stochastics: Theory and Applications
issn	2351-6046 2351-6054
publishDate	2018-10-01
description	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.
topic	Bi-seasonal model discrete time risk model ruin probability recursive formula dependent claims
url	https://www.vmsta.org/doi/10.15559/18-VMSTA118
work_keys_str_mv	AT olganavickiene ruinprobabilityforthebiseasonaldiscretetimeriskmodelwithdependentclaims AT jonassprindys ruinprobabilityforthebiseasonaldiscretetimeriskmodelwithdependentclaims AT jonassiaulys ruinprobabilityforthebiseasonaldiscretetimeriskmodelwithdependentclaims
_version_	1725866250462035968

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

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