discrete time risk model infinite time ruin probability inhomogeneous claims
How to Cite
Bieliauskienė, E. and Šiaulys, J. (2010) “Infinite time ruin probability in inhomogeneous claims case”, Lietuvos matematikos rinkinys, 51(proc. LMS), pp. 352–356. doi:10.15388/LMR.2010.64.
Infinite time ruin probability in inhomogeneous claims case
Abstract
The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.