Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
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Abstract
Abstract: This paper deals with ruin probabilities in generalized discrete time risk process with Markov chain interest model. After, recursive and integral equations for the ruin probabilities are given. When interest rates can be negative and loss distribution have regularly varying tails, the paper built an asymptotic formula for the finite time ruin probability by an inductive approach on the recursive equations.
Keywords: Discrete time risk model; Time of ruin; Ruin probability; Recursive eqution; Rate of interest.
References
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[2] Cai, J. Discrete time risk models under rates of interest, Probability in the Engineering and Information sciences, 16(2002a), 309 – 324.
[3] Xiao Wei, Yijun Hu Ruin probabilities for discrete time risk models with stochastic rates of interest. Statistic and Probability Letters 78 (2008), 705-715.
[4] Yang,H., 2003. Ruin theory in a finacial corporation model with credit risk. Insuarance Math. Econ. 33, 135 – 145
[5] Embrenchts, P., Kluppelberg, C., Mikosch, T., 1997. Modelling Extremal Events for Insurance and Finance. Springer, Berlin.
[6] Feller, W., 1971. An introduction to Probability theory and its Applications, vol. II, 2nd ed.. Wiley, New York.