Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model
DOI10.3934/PUQR.2023020arXiv2306.16897OpenAlexW4390240686MaRDI QIDQ6149346
Publication date: 5 February 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2306.16897
initial valuesrenewal theorygenerating functionrandom walksurvival probabilityqueueing theoryruin theoryPollaczek-Khinchine formula
Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)
Cites Work
- Unnamed Item
- Unnamed Item
- Bi-seasonal discrete time risk model
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Calculation of the probability of eventual ruin by Beekman's convolution series
- On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model
- Some bounds for the renewal function and the variance of the renewal process
- Applied Probability and Queues
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- A review of discrete-time risk models
This page was built for publication: Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model