Abstract

In this paper, we consider a discrete time risk model with discount rate. By using the recursive method, recursion formulas for distribution of the largest surplus before ruin, ruin probabilities in finite time and ultimate ruin probability are derived. Moreover, recursion formulas for the ruin lasting time are also derived. Index Terms - Discount rate, Discrete time risk model, Finite time ruin probability, Ultimate ruin probability, Distribution of the largest surplus before ruin

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