Ruin probability for finite negative binomial mixture claims via recurrence sequences

Luis Rincón and David J. Santana

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 2, 557-124

Abstract: A new procedure to find the ultimate ruin probability in a discrete-time risk model is presented for claims with a mixture of m negative binomial distributions. The method involves the theory of linear recurrence sequences. It requires to find the zeroes of an m degree polynomial and the solution of a system of m linear equations. Numerical results and plots are provided as examples.

Date: 2024
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DOI: 10.1080/03610926.2022.2087091

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