Ruin probability for the bi-seasonal discrete time risk model with dependent claims
| Autor: | Navickienė, Olga, Sprindys, Jonas, Šiaulys, Jonas |
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| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | Modern Stochastics: Theory and Applications 2019, Vol. 6, No. 1, 133-144 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.15559/18-VMSTA118 |
| Popis: | The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples. Comment: Published at https://doi.org/10.15559/18-VMSTA118 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/) |
| Databáze: | arXiv |
| Externí odkaz: |
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