Title: Ruin Problems for the Discrete Time Insurance Risk Model with AR(1) Claim Sizes
Abstract: The modified classical discrete time insurance risk model with AR(1) claim sizes was discussed. Using recursive method and mathematical induction, recursive expressions about the distribution of surplus before ruin and maximum surplus before ruin, as well as the recursive expressions of the joint distribution of surplus before ruin, deficit after ruin, and the maximum surplus before ruin were derived.
Publication Year: 2014
Publication Date: 2014-01-01
Language: en
Type: article
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