Year: 2023
Type: preprint
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 $\{0,1,\ldots,m\}$, for some integer $m\ge2$. The method requires to find the zeroes of an $m$ degree polynomial and to solve a system of $m$ linear equations. An approximation is derived from the exact ruin formula and several numerical results and plots are provided as examples.
Source: arXiv (Cornell University)
Authors: Santana, David J., Rincón, Luis
Institution: Universidad Juárez Autónoma de Tabasco
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4320836714