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A method of calculating exact ruin probabilities in discrete time models

Author

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  • Marcin Rudź

    (Technical University of Łódź)

Abstract

The paper presents an application of an integral operator generated by the discrete time risk process to determining the exact formulae for ruin probabilities. The methodology is based on finding a fixed point of the operator and verifying whether it is identically equal to the probability of ruin. The exact ruin probabilities are derived for an absolutely continuous as well as for a discrete amount distribution of claims. Numerical examples are also given.

Suggested Citation

  • Marcin Rudź, 2015. "A method of calculating exact ruin probabilities in discrete time models," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 307-322.
    • Handle: RePEc:sgh:annals:i:37:y:2015:p:307-322
    as

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    References listed on IDEAS

    as
    1. Chan, Beda, 1990. "Ruin Probability for Translated Combination of Exponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 113-114, April.
    2. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook0501, December.
    3. Babier, Joshua & Chan, Beda, 1992. "Approximations of Ruin Probability by Di-Atomic or Di-Exponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 235-246, November.
    4. Garcia, Jorge M.A., 2005. "Explicit Solutions for Survival Probabilities in the Classical Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 113-130, May.
    Full references (including those not matched with items on IDEAS)

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