Bi-seasonal discrete time risk model with income rate two

Alina Alencenovič; Andrius Grigutis

doi:10.1080/03610926.2022.2026962

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arXiv · 2104.14771

Bi-seasonal discrete time risk model with income rate two

Alina Alencenovič·Andrius Grigutis

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Abstract

This paper proceeds an approximate calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas and \v{S}iaulys. In general, discrete time and related risk models deal with possibility for a certain version of random walk to hit a certain threshold at least once in time. In this research, the mentioned threshold is the line $u+2t$ and random walk consists from two interchangeably occurring independent but not necessarily identically distributed random variables. Most of proved theoretical statements are illustrated via numerical calculations. Also, there are raised a couple of conjectures on a certain recurrent determinants non-vanishing.

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BibTeX RIS

Alina Alencenovič, Andrius Grigutis. 2021-04-30. Bi-seasonal discrete time risk model with income rate two. https://doi.org/10.1080/03610926.2022.2026962

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