Uogólnienie klasycznego procesu nadwyżki finansowej w czasie dyskretnym
Generalization of a classical processof a financial surplus process in discrete time

Summary/Abstract: In the paper a discrete finance surplus process with variable premium, reinsurance and investment of the finance surplus is analysed. Ruin probability in a finite and infinite time are determined. For total claims with light-tailed distributions covered by an insurer, an upper estimation is obtained by Lundberg coefficient. For total claims with heavy-tailed distributions an approximation of ruin probability for a large initial capital is given. The obtained results are illustrated by examples for a proportional reinsurance.

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