Ruin Probabilities with a Markov Chain Interest Model
AuthorCai, Jun; Dickson, David C. M.
AffiliationEconomics and Commerce: Centre for Actuarial Studies
CitationsCai, Jun and Dickson, David C. M. (2002) Ruin Probabilities with a Markov Chain Interest Model.
Access StatusOpen Access
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.
Keywordsrisk process; Markoc chain; ruin probability; rate of interest; Lundberg's inequality; Jensen's inequality; NWUC; supermartingale; optional stopping theorem; AMS 1991 subject classification primary 60K10: Applications (reliability; demand theory; etc.); 60K25: Queueing theory; Secondary 62N05 Reliability and life testing
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