Economics - Research Publications

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Author: Dickson, David × Type: Preprint × Subject: 60K25: Queueing theory ×

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    Ruin Probabilities with a Markov Chain Interest Model
    Cai, Jun ; Dickson, David C. M. ( 2002-08)
    Ruin probabilities in two generalized discrete time risk processes with a Markov chain interest model are studied. Recursive and integrat equations for the ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived both by inductive and martingale approaches. The relationships between these inequalities are discussed. A numerical example is given to illustrate these results.