Year: 2024
Type: article
Abstract: The theory of linear recurrence sequences is applied to obtain an explicit formula for the ultimate ruin probability in a discrete-time risk process. It is assumed that the claims distribution is arbitrary but has finite support $$\varvec{\{0,1,\ldots ,m+1\}}$$ { 0 , 1 , … , m + 1 } , for some integer $$\varvec{m\ge 1}$$ m ≥ 1 . The method requires finding the zeroes of an m degree polynomial and solving a system of m linear equations. An approximation is derived and some numerical results and plots are provided as examples.
Authors: Ernesto Cruz, Luis Rincón, David J. Santana
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,090
Award: G1631354238
OpenAlex ID: W4401981462