Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195812 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
In this work, the non-homogeneous risk model is considered. In such a model, claims and inter-arrival times are independent but possibly non-identically distributed. The easily verifiable conditions are found such that the ultimate ruin probability of the model satisfies the exponential estimate exp{-qu} for all values of the initial surplus uÏ0. Algorithms to estimate the positive constant q are also presented. In fact, these algorithms are the main contribution of this work. Sharpness of the derived inequalities is illustrated by several numerical examples.
Subjects: 
non-homogeneous model
renewal risk model
ruin probability
net profit condition
Lundberg's inequality
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size
711.08 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.