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Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities

Author

Listed:
  • Lefèvre Claude

    (Département de Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, B-1050 Bruxelles, Belgium)

  • Picard Philippe

    (Université de Lyon 1, Institut de Science Financière et d’Assurances, 50 avenue Tony Garnier, F-69366 Lyon Ceeedex 07, France)

Abstract

The central mathematical tool discussed is a non-standard family of polynomials, univariate and bivariate, called Abel-Goncharoff polynomials. First, we briefly summarize the main properties of this family of polynomials obtained in the previous work. Then, we extend the remarkable links existing between these polynomials and the parking functions which are a classic object in combinatorics and computer science. Finally, we use the polynomials to determine the non-ruin probabilities over a finite horizon for a bivariate risk process, in discrete and continuous time, assuming that claim amounts are dependent via a partial Schur-constancy property.

Suggested Citation

  • Lefèvre Claude & Picard Philippe, 2023. "Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-17.
    • Handle: RePEc:vrs:demode:v:11:y:2023:i:1:p:17:n:1012
    DOI: 10.1515/demo-2023-0107
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    References listed on IDEAS

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