A method of calculating exact ruin probabilities in discrete time models

Marcin Rudź
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Marcin Rudź: Technical University of Łódź

Collegium of Economic Analysis Annals, 2015, issue 37, 307-322

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.

Keywords: discrete time risk models; ruin probabilities; integral operator generated by a risk process; theory of fixed points; Solvency II (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:37:y:2015:p:307-322

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