Geodesic
A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model
Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 3 (2011), pp. 39-46

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The following three problems are considered in the article: 1) calculation of the sequence $P_n(u)$ an unruin probability at the step $n$ and $u$ an initial capital; 2) calculation $P_t(u)$ an unruin probability before a moment $t$ and $u$ an initial capital; 3) calculation an unruin probability $P(u)$ as a solution of a difference equation, when the distribution functions are given as gistogramms. Some numerical examples are given.
Keywords: unruin probability, Lundberg’s model, unruin probability before a moment $t$, difference equation. 
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     author = {V. N. Igolkin},
     title = {A calculation of some unruin kharacteristics of an insurance company by {Lundberg{\textquoteright}s} model},
     journal = {Vestnik Sankt-Peterburgskogo universiteta. Prikladna\^a matematika, informatika, processy upravleni\^a},
     pages = {39--46},
     publisher = {mathdoc},
     number = {3},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VSPUI_2011_3_a4/}
}
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V. N. Igolkin. A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model. Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 3 (2011), pp. 39-46. http://geodesic.mathdoc.fr/item/VSPUI_2011_3_a4/