RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS

Abstract

AbstractIn this paper, we present recursive formulae for the ruin probability at or before a certain claim arrival instant for some particular continuous time risk model. The claim number process underlying this risk model is a renewal process with either Erlang or a mixture of exponentials inter-claim times (ICTs). The claim sizes (CSs) are independent and distributed in Erlang's family, i.e., they can have different parameters, which yields a non-homogeneous risk process. We present the corresponding recursive algorithm used to evaluate the above mentioned ruin probability and we illustrate it on several numerical examples in which we vary the model's parameters to assess the impact of the non-homogeneity on the resulting ruin probability.