Geodesic
On sequential maxima of geometric sample means, with extension to the ruin probability
Filomat, Tome 36 (2022) no. 17, p. 5857

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DOI

In this paper, we consider the ruin probability of risk models with a geometric distribution of claim sizes. Since their probabilities can't be calculated directly, we use exponential distribution to estimate its upper and lower bounds and asymptotic estimates based on the relationship between geometric distribution and exponential distribution. Finally, some numerical simulations are given to prove the superiority of our estimates.
DOI : 10.2298/FIL2217857L
Classification : 65C05, 28B15
Keywords: ruin probability, geometric distribution, discrete-time risk model, Monte Carlo method, integral function 
Dawei Lu; Yan Wang; Jingmei Li. On sequential maxima of geometric sample means, with extension to the ruin probability. Filomat, Tome 36 (2022) no. 17, p. 5857 . doi: 10.2298/FIL2217857L
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     title = {On sequential maxima of geometric sample means, with extension to the ruin probability},
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     pages = {5857 },
     year = {2022},
     volume = {36},
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     doi = {10.2298/FIL2217857L},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2217857L/}
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