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Exact expression of ultimate time survival probability in homogeneous discrete-time risk model
AIMS Mathematics 2023, 8(3): 5181-5199
Published: 15 March 2023
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In this work, we set up the generating function of the ultimate time survival probability φ ( u + 1 ), where

φ ( u ) = P ( sup n 1 i = 1 n ( X i κ ) < u ) ,

u N 0 , κ N and the random walk { i = 1 n X i , n N } consists of independent and identically distributed random variables X i , which are non-negative and integer-valued. We also give expressions of φ ( u ) via the roots of certain polynomials. The probability φ ( u ) means that the stochastic process

u + κ n i = 1 n X i

is positive for all n N , where a certain growth is illustrated by the deterministic part u + κ n and decrease is given by the subtracted random part i = 1 n X i . Based on the proven theoretical statements, we give several examples of φ ( u ) and its generating function expressions, when random variables X i admit Bernoulli, geometric and some other distributions.

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