 Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributionsHelena Jasiulewicz () and Wojciech Kordecki () Operations Research and Decisions, 2015, vol. 25, issue 3, 17-38 Abstract: The paper focuses on a quantitative analysis of the probability of ruin in a finite time for a discrete risk process with proportional reinsurance and investment of the financial surplus. It is assumed that the total loss on a unit interval has either a light-tailed distribution – exponential distribution or a heavy-tailed distribution – Pareto distribution. The ruin probabilities for the finite-horizons 5 and 10 were determined from recurrence equations. Moreover, the upper bound of the ruin probability is given for the exponential distribution based on the Lundberg adjustment coefficient. This adjustment coefficient does not exist for the Pareto distribution, hence an asymptotic approximation is given for the ruin probability when the initial capital tends to infinity. The numerical results obtained are illustrated by tables and figures. Keywords: discrete time risk process; ruin probability; proportional reinsurance; Lundberg’s inequality; regularly varying tail (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:3:y:2015:p:17-38:id:1142 DOI: 10.5277/ord150302 Access Statistics for this article More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC. |
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