Estimation of ruin probability for binomially distributed number of $\varphi$-sub-Gaussian claims




binomial distribution, φ-sub-Gaussian random variables, ruin probability


In this paper, we study the properties of a risk process, formed by binomial sum of $\varphi$-sub-Gaussian risks. Estimates for probability of exceeding a monotone increasing continuous curve by such a sum are obtained. In particular, the ruin probability estimate is derived for the risk process in case of linearly incoming premiums.

Pages of the article in the issue: 20 - 27

Language of the article: Ukrainian

Author Biography

Rostyslav Yamnenko, Taras Shevchenko National University of Kyiv

Кафедра теорії ймовірності, статистики і актуарної математики, доцент


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How to Cite

Ямненко, Р., & Ламін, А. (2022). Estimation of ruin probability for binomially distributed number of $\varphi$-sub-Gaussian claims. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, (2), 20–27.



Algebra, Geometry and Probability Theory