2017
Том 69
№ 9

All Issues

Projective method for equation of risk theory in the arithmetic case

Chernetskii V. A.

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Abstract

We consider a discrete model of operation of an insurance company whose initial capital can take any integer value. In this statement, the problem of nonruin probability is naturally solved by the Wiener-Hopf method. Passing to generating functions and reducing the fundamental equation of risk theory to a Riemann boundary-value problem on the unit circle, we establish that this equation is a special one-sided discrete Wiener-Hopf equation whose symbol has a unique zero, and, furthermore, this zero is simple. On the basis of the constructed solvability theory for this equation, we justify the applicability of the projective method to the approximation of ruin probabilities in the spaces $l^{+}_1$ and $\textbf{c}^{+}_0$. Conditions for the distributions of waiting times and claims under which the method converges are established. The delayed renewal process and stationary renewal process are considered, and approximations for the ruin probabilities in these processes are obtained.

English version (Springer): Ukrainian Mathematical Journal 65 (2013), no. 4, pp 623-642.

Citation Example: Chernetskii V. A. Projective method for equation of risk theory in the arithmetic case // Ukr. Mat. Zh. - 2013. - 65, № 4. - pp. 565-582.

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