Ruin probability analysis in geometric inhomogeneous claims case
Eugenija Bieliauskienė
Lietuvos Matematikos Rinkinys · 2011
doi:10.15388/lmr.2011.ot01 (opens in a new tab)
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Abstract
The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters. Some quantitave examples are also given.
Abstract licence: CC BY
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