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arXiv · 2306.16897

On the exact survival probability by setting discrete random variables in E. Sparre Andersen's model

Andrius Grigutis
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Abstract

In this work, we propose a simplification of the Pollaczek-Khinchine formula for the ultimate time survival (or ruin) probability calculation in exchange for a few assumptions on the random variables which generate the renewal risk model. More precisely, we show the expressibility of the distribution function $$ \mathbb{P}\left(\sup_{n\geqslant1}\sum_{i=1}^{n}(X_i-c\theta_i) 0$, $X$ and $c\theta$ are independent non-negative and integer-valued, and the support of $\theta$ is finite. We give few numerical outputs of the proven theoretical statements when the mentioned random variables admit some particular distributions.

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Andrius Grigutis. 2023-06-29. On the exact survival probability by setting discrete random variables in E. Sparre Andersen's model. https://doi.org/10.3934/puqr.2023020

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