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Approximations of the ruin probability in a discrete time risk model.
- Source :
- Modern Stochastics: Theory & Applications; Sep2020, Vol. 7 Issue 3, p221-243, 23p
- Publication Year :
- 2020
-
Abstract
- Based on a discrete version of the Pollaczeck-Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber-Dickson risk model is provided when claims follow a negative binomial mixture distribution. The result is then extended for claims with a mixed Poisson distribution. The formula obtained allows for some approximation procedures. Several examples are provided along with the numerical evidence of the accuracy of the approximations. [ABSTRACT FROM AUTHOR]
- Subjects :
- NEGATIVE binomial distribution
PROBABILITY theory
ARCHAEOLOGICAL excavations
Subjects
Details
- Language :
- English
- ISSN :
- 23516046
- Volume :
- 7
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Modern Stochastics: Theory & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 146571326
- Full Text :
- https://doi.org/10.15559/20-VMSTA158