Ruin Probabilities with a Markov Chain Interest Model

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    Author
    Cai, Jun; Dickson, David C. M.
    Date
    2002-08
    University of Melbourne Author/s
    Cai, Jun; Dickson, David
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Preprint
    Citations
    Cai, Jun and Dickson, David C. M. (2002) Ruin Probabilities with a Markov Chain Interest Model.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/33689
    Abstract
    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.
    Keywords
    risk 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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