Modern Stochastics: Theory and Applications

This article provides survival probability calculation formulas for bi-risk discrete time risk model with income rate two. More precisely, the possibility for the stochastic process $u+2t-{\textstyle\sum _{i=1}^{t}}{X_{i}}-{\textstyle\sum _{j=1}^{\lfloor t/2\rfloor }}{Y_{j}}$, $u\in \mathbb{N}\cup \{0\}$, to stay positive for all $t\in \{1,\hspace{0.1667em}2,\hspace{0.1667em}\dots ,\hspace{0.1667em}T\}$, when $T\in \mathbb{N}$ or $T\to \infty $, is considered, where the subtracted random part consists of the sum of random variables, which occur in time in the following order: ${X_{1}},\hspace{0.1667em}{X_{2}}+{Y_{1}},\hspace{0.1667em}{X_{3}},\hspace{0.1667em}{X_{4}}+{Y_{2}},\hspace{0.1667em}\dots $ Here ${X_{i}},\hspace{0.1667em}i\in \mathbb{N}$, and ${Y_{j}},\hspace{0.1667em}j\in \mathbb{N}$, are independent copies of two independent, but not necessarily identically distributed, nonnegative and integer-valued random variables X and Y. Following the known survival probability formulas of the similar bi-seasonal model with income rate two, $u+2t-{\textstyle\sum _{i=1}^{t}}{X_{i}}{\mathbb{1}_{\{i\hspace{2.5pt}\text{is odd}\}}}-{\textstyle\sum _{j=1}^{t}}{Y_{i}}{\mathbb{1}_{\{j\hspace{2.5pt}\text{is even}\}}}$, it is demonstrated how the bi-seasonal model is used to express survival probability calculation formulas in the bi-risk case. Several numerical examples are given where the derived theoretical statements are applied.

In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis and Macheras [ArXiv:2007.05289 (2020) 1–25], is applied to the ruin problem in order to obtain an explicit formula for the probability of ruin in a mixed renewal risk model and to find upper and lower bounds for it.