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Ruin probability in the three-seasonal discrete-time risk model

Research paper by Andrius Grigutis, Agneška Korvel, Jonas Šiaulys

Indexed on: 06 Jan '16Published on: 06 Jan '16Published in: Mathematics - Probability



Abstract

This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times $\{2,5,8,\ldots\}$, and at times $\{3,6,9,\ldots\}$. We present the recursive formulas to calculate the finite-time and ultimate ruin probabilities. We illustrate the theoretical results by several numerical examples.