Naslov
Ruin probability for discrete risk processes

Autori
Geček Tuđen, Ivana

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni

Skup
Vienna Congress on Mathematical Finance (VCMF2019)

Mjesto i datum
Beč, Austrija, 09.09.2019. - 11.09.2019

Vrsta sudjelovanja
Poster

Vrsta recenzije
Recenziran

Ključne riječi
skip-free random walk, ballot theorem, level crossing, ruin probability, Pollaczek-Khinchine formula

Sažetak
We study the discrete-time risk process modeled by the skip-free random walk and derive the results connected to the ruin probability and crossing the fixed level for this type of process. We use the method relying on the classical ballot theorems to derive the results for crossing the fixed level and compare them to the results known for the continuous-time version of the risk process. Further, we generalize this model by adding the perturbation and derive similar results using the skip-free structure of the process. In the end, we also derive the famous Pollaczek-Khinchine type formula for this generalized process, using the decomposition of the supremum of the dual-process at some special instants of time.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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