Ruin probability for discrete risk processes

2017/09/07 by Ivana Geček Tuđen, Tuđen, Ivana Geček
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Primary 60C05 #Probability (math.PR) #Probability and Risk Models #Secondary 60G50 #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1709.02137

openalex publication_date 2017/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the classical ballot theorems to derive these results and compare them to the results obtained for the continuous time version of the risk process. We further generalize this model by adding the perturbation and, still relying on the skip-free structure of that process, we generalize the previous results on crossing the fixed level for the generalized discrete time risk process.

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