三季节性离散时间风险模型中的破产概率
概率论
2016-01-07 v1
摘要
本文研究具有非同分布索赔的离散时间风险模型。我们假设索赔以三个时间单位为周期重复，即索赔分布在时刻{1,4,7,...}、时刻{2,5,8,...}和时刻{3,6,9,...}分别重合。我们给出计算有限时间和最终破产概率的递归公式。我们通过几个数值例子说明理论结果。
引用
@article{arxiv.1601.01153,
title = {Ruin probability in the three-seasonal discrete-time risk model},
author = {Andrius Grigutis and Agneška Korvel and Jonas Šiaulys},
journal= {arXiv preprint arXiv:1601.01153},
year = {2016}
}
备注
Published at http://dx.doi.org/10.15559/15-VMSTA45 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)