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- W4320836714 abstract "We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support ${0,1,ldots,m}$, for some integer $mge2$. The method requires to find the zeroes of an $m$ degree polynomial and to solve a system of $m$ linear equations. An approximation is derived from the exact ruin formula and several numerical results and plots are provided as examples." @default.
- W4320836714 created "2023-02-15" @default.
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- W4320836714 date "2023-02-10" @default.
- W4320836714 modified "2023-09-26" @default.
- W4320836714 title "Ruin probabilities as recurrence sequences in a discrete-time risk process" @default.
- W4320836714 doi "https://doi.org/10.48550/arxiv.2302.05568" @default.
- W4320836714 hasPublicationYear "2023" @default.
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