Ruin probabilities as recurrence sequences in a discrete-time risk process
Probability
2023-02-14 v1
Abstract
We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support , for some integer . The method requires to find the zeroes of an degree polynomial and to solve a system of linear equations. An approximation is derived from the exact ruin formula and several numerical results and plots are provided as examples.
Cite
@article{arxiv.2302.05568,
title = {Ruin probabilities as recurrence sequences in a discrete-time risk process},
author = {David J. Santana and Luis Rincón},
journal= {arXiv preprint arXiv:2302.05568},
year = {2023}
}