Abstract
This paper derives several formulas for the probability of eventual ruin in a discrete-time model. In this model, the number of claims process is assumed to be binomial. The claim amounts, premium rate and initial surplus are assumed to be integer-valued.
KEYWORDS Compound binomial process; Probability of eventual ruin; Ultimate ruin probability; Infinite-time ruin probability; Risk theory; Random walk; Gambler's ruin; Lagrange series.
Volume
19:2
Page
179-190
Year
1994
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Financial and Statistical Methods
Loss Distributions
Extreme Values
Actuarial Applications and Methodologies
Regulation and Law
Solvency
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Practice Areas
Risk Management
Publications
ASTIN Bulletin
