Estimation of ruin probability for binomially distributed number of $\varphi$-sub-Gaussian claims
Keywords: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
VASYLYK, O. I., KOZACHENKO, YU. V., YAMNENKO, R. E. (2008) $varphi $-sub-Gaussian random process, Kyiv: Vydavnycho-Poligrafichnyi Tsentr ``Kyivskyi Universytet'', 231 p. (In Ukrainian)
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