Ruin Probability in a Generalised Risk Process under Rates of Interest with Homogenous Markov Chains
Year: 2014
East Asian Journal on Applied Mathematics, Vol. 4 (2014), Iss. 3 : pp. 283–300
Abstract
This article explores recursive and integral equations for ruin probabilities of generalised risk processes, under rates of interest with homogenous Markov chain claims and homogenous Markov chain premiums. We assume that claim and premium take a countable number of non-negative values. Generalised Lundberg inequalities for the ruin probabilities of these processes are derived via a recursive technique. Recursive equations for finite time ruin probabilities and an integral equation for the ultimate ruin probability are presented, from which corresponding probability inequalities and upper bounds are obtained. An illustrative numerical example is discussed.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.051013.230614a
East Asian Journal on Applied Mathematics, Vol. 4 (2014), Iss. 3 : pp. 283–300
Published online: 2014-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Integral equation recursive equation ruin probability homogeneous Markov chain.