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The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model

Edita Kizinevič () and Jonas Šiaulys ()
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Edita Kizinevič: Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, LT-03225 Vilnius, Lithuania
Jonas Šiaulys: Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, LT-03225 Vilnius, Lithuania

Risks, 2018, vol. 6, issue 1, 1-17

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 { − ϱ u } for all values of the initial surplus u ⩾ 0 . Algorithms to estimate the positive constant ϱ 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.

Keywords: non-homogeneous model; renewal risk model; ruin probability; net profit condition; Lundberg’s inequality (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2018
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