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This master's thesis reviews application of ultimate time survival probability 𝜑(u) generating function for a homogeneous discrete time risk model. The model itself is presented with main definitions and survival probabilities. Theorems required for algorithms of probabilities calculations are formulated and proved. In presented examples, with the help of Wolfram Mathematica expressions and numerical values of survival probabilities are found with different claim amount distributions and cases when roots inside unit circle are multiple. |
