Ruin Probabilities as Recurrence Sequences in a Discrete-Time Risk Process.

The theory of linear recurrence sequences is applied to obtain an explicit formula for the ultimate ruin probability in a discrete-time risk process. It is assumed that the claims distribution is arbitrary but has finite support { 0 , 1 , … , m + 1 } , for some integer m ≥ 1 . The method requires finding the zeroes of an m degree polynomial and solving a system of m linear equations. An approximation is derived and some numerical results and plots are provided as examples. [ABSTRACT FROM AUTHOR]