The exponential estimate of the ultimate ruin probability for the non-homogeneous renewal risk model

Artikel

In this work, the non-homogeneous risk model is considered. In such a model, claims and inter-arrival times are independent but possibly non-identically distributed. The easily verifiable conditions are found such that the ultimate ruin probability of the model satisfies the exponential estimate exp{-qu} for all values of the initial surplus uÏ0. Algorithms to estimate the positive constant q are also presented. In fact, these algorithms are the main contribution of this work. Sharpness of the derived inequalities is illustrated by several numerical examples.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: non-homogeneous model ; renewal risk model ; ruin probability ; net profit condition ; Lundberg's inequality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kizinevič, Edita ; Šiaulys, Jonas
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/risks6010020
• Handle: http://hdl.handle.net/10419/195812
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ