Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions

Helena Jasiulewicz and Wojciech Kordecki

Papers from arXiv.org

Abstract: In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a light-tailed distribution -- exponential distribution and a heavy-tailed distribution -- Pareto distribution. The ruin probability for finite-horizon 5 and 10 was determined from recurrence equations. Moreover for exponential distribution the upper bound of ruin probability by Lundberg adjustment coefficient is given. For Pareto distribution the adjustment coefficient does not exist, hence an asymptotic approximation of the ruin probability if an initial capital tends to infinity is given. Obtained numerical results are given as tables and they are illustrated as graphs.

Date: 2013-06, Revised 2015-03
New Economics Papers: this item is included in nep-rmg
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Published in Operations Research and Decisions 25(3)(2015)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1306.3479

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