Projective method for equation of risk theory in the arithmetic case

  • V. A. Chernetskii Odessa State Acad. Refrigeration, Ukraine

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.
Published
25.04.2013
How to Cite
ChernetskiiV. A. “Projective Method for Equation of Risk Theory in the Arithmetic Case”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 65, no. 4, Apr. 2013, pp. 565-82, http://umj.imath.kiev.ua/index.php/umj/article/view/2440.
Section
Research articles