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arXiv · 1601.01153

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

Andrius Grigutis·Agneška Korvel·Jonas Šiaulys
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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.

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Andrius Grigutis, Agneška Korvel, Jonas Šiaulys. 2016-01-06. Ruin probability in the three-seasonal discrete-time risk model. https://doi.org/10.15559/15-vmsta45

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