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arXiv · 2006.01391

Approximations of the ruin probability in a discrete time risk model

David J. Santana·Luis Rincon
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Abstract

Based on a discrete version of the Pollaczeck-Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber-Dickson risk model is provided when claims follow a negative binomial mixture distribution. The result is then extended for claims with a mixed Poisson distribution. The formula obtained allows for some approximation procedures. Several examples are provided along with the numerical evidence of the accuracy of the approximations.

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David J. Santana, Luis Rincon. 2020-06-02. Approximations of the ruin probability in a discrete time risk model. https://arxiv.org/abs/2006.01391

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