Finite-Time Ruin Probabilities for Risk Models with Sequences of Independent and Continously Distributed Random Variables

Bui Khoi Dam, Nguyen Thi Thuy Hong
2014 Journal of Statistics Applications & Probability Letters  
In this article, we proved the estimation formula for the ruin probability for risk model with sequences of independent and continuously distributed random variables. We generalized the Picard-Lefvre formula (see [7] ) for the ruin probability for risk models as well as the results of Claude Lefvre and Stephane Loisel (see [2] ). In their studies, the authors gave only the formula of ruin probability for classical risk model while in our study, we established the formula for continuously
more » ... continuously distributed random variables. Otherwise, we extended the results for the model with sequences which are dependent of Markov type.
doi:10.12785/jsapl/010305 fatcat:vl6j5taiove6xekduvkrw2bqvu