Author:
Cruz Ernesto,Rincón Luis,Santana David J.
Abstract
AbstractThe theory of linear recurrence sequences is applied to obtain an explicit formula for the ultimate ruin probability in a discrete-time risk process. It is assumed that the claims distribution is arbitrary but has finite support $$\varvec{\{0,1,\ldots ,m+1\}}$$
{
0
,
1
,
…
,
m
+
1
}
, for some integer $$\varvec{m\ge 1}$$
m
≥
1
. The method requires finding the zeroes of an m degree polynomial and solving a system of m linear equations. An approximation is derived and some numerical results and plots are provided as examples.
Funder
Consejo Nacional de Ciencia y Tecnología
Publisher
Springer Science and Business Media LLC