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  • 1 University of Zagreb, Zagreb, Croatia
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Abstract

We study the discrete time risk process modelled by the skip-free random walk and derive results connected to the ruin probability and crossing a fixed level for this type of process. We use the method relying on the classical ballot theorems to derive the results for crossing a fixed level and compare them to the results known for the continuous time version of the risk process. We generalize this model by adding a perturbation and, still relying on the skip-free structure of that process, we generalize the previous results on crossing the fixed level for the generalized discrete time risk process. We further derive the famous Pollaczek-Khinchine type formula for this generalized process, using the decomposition of the supremum of the dual process at some special instants of time.

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  • Impact Factor (2019): 0.486
  • Scimago Journal Rank (2019): 0.234
  • SJR Hirsch-Index (2019): 23
  • SJR Quartile Score (2019): Q3 Mathematics (miscellaneous)
  • Impact Factor (2018): 0.309
  • Scimago Journal Rank (2018): 0.253
  • SJR Hirsch-Index (2018): 21
  • SJR Quartile Score (2018): Q3 Mathematics (miscellaneous)

Language: English, French, German

Founded in 1966
Publication: One volume of four issues annually
Publication Programme: 2020. Vol. 57.
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Senior editors

Editor(s)-in-Chief: Pálfy Péter Pál

Managing Editor(s): Sági, Gábor

Editorial Board

  • Biró, András (Number theory)
  • Csáki, Endre (Probability theory and stochastic processes, Statistics)
  • Domokos, Mátyás (Algebra (Ring theory, Invariant theory))
  • Győri, Ervin (Graph and hypergraph theory, Extremal combinatorics, Designs and configurations)
  • O. H. Katona, Gyula (Combinatorics)
  • Márki, László (Algebra (Semigroup theory, Category theory, Ring theory))
  • Némethi, András (Algebraic geometry, Analytic spaces, Analysis on manifolds)
  • Pach, János (Combinatorics, Discrete and computational geometry)
  • Rásonyi, Miklós (Probability theory and stochastic processes, Financial mathematics)
  • Révész, Szilárd Gy. (Analysis (Approximation theory, Potential theory, Harmonic analysis, Functional analysis))
  • Ruzsa, Imre Z. (Number theory)
  • Soukup, Lajos (General topology, Set theory, Model theory, Algebraic logic, Measure and integration)
  • Stipsicz, András (Low dimensional topology and knot theory, Manifolds and cell complexes, Differential topology)
  • Szász, Domokos (Dynamical systems and ergodic theory, Mechanics of particles and systems)
  • Tóth, Géza (Combinatorial geometry)

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