Bi-seasonal discrete time risk model with income rate two

Alina Alencenovič and Andrius Grigutis

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 17, 6161-6178

Abstract: This article proceeds calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas and Šiaulys. In general, discrete time and related risk models deal with possibility for a certain version of random walk to hit a certain threshold at least once in time. In this research, the mentioned threshold is the line u+2t and random walk consists from two interchangeably occurring independent but not necessarily identically distributed random variables. Most of proved theoretical statements are illustrated via numerical calculations. Also, there are raised a couple of conjectures that a certain recurrent determinants are non-vanishing.

Date: 2023
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DOI: 10.1080/03610926.2022.2026962

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