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

DOI10.3934/PUQR.2023020arXiv2306.16897OpenAlexW4390240686MaRDI QIDQ6149346

Andrius Grigutis

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

zbMATH Keywords

initial valuesrenewal theorygenerating functionrandom walksurvival probabilityqueueing theoryruin theoryPollaczek-Khinchine formula

Mathematics Subject Classification ID

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