Ruin probability in the three-seasonal discrete-time risk model
Volume 2, Issue 4 (2015), pp. 421–441
Pub. online: 30 December 2015
Type: Research Article
Open Access
Open Access
1
The first author was supported by grant No. MIP-049/2014 from the Research Council of Lithuania.
Received
26 November 2015
26 November 2015
Revised
14 December 2015
14 December 2015
Accepted
14 December 2015
14 December 2015
Published
30 December 2015
30 December 2015
Abstract
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\dots \}$, at times $\{2,5,8,\dots \}$, and at times $\{3,6,9,\dots \}$. We present the recursive formulas to calculate the finite-time and ultimate ruin probabilities. We illustrate the theoretical results by several numerical examples.
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