Bi-seasonal discrete time risk model with income rate two

Abstract

This paper proceeds an approximate 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 on a certain recurrent determinants non-vanishing.

References in corpus (2)

• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Ruin probability in the three-seasonal discrete-time risk model