Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model

Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model

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 a...

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Main Author: Nguyen, Thi Hien
Format: Article
Language:English
Published: H. : ĐHQGHN 2017
Subjects:
Discrete time risk model
Time of ruin
Ruin probability
Recursive eqution
Rate of interest
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/56242
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-562422018-09-12T02:52:08Z Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model Nguyen, Thi Hien Discrete time risk model Time of ruin Ruin probability Recursive eqution Rate of interest 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. 2017-08-10T03:37:49Z 2017-08-10T03:37:49Z 2013 Article Nguyen, T. H. (2013). Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model. VNU Journal of Science, Mathematics- Physics, 29, 1, 9-17. 2588-1124 http://repository.vnu.edu.vn/handle/VNU_123/56242 en Journal of Mathematics- Physics application/pdf H. : ĐHQGHN
institution Vietnam National University, Hanoi
building VNU Library & Information Center
country Vietnam
collection VNU Digital Repository
language English
topic Discrete time risk model
Time of ruin
Ruin probability
Recursive eqution
Rate of interest
spellingShingle Discrete time risk model
Time of ruin
Ruin probability
Recursive eqution
Rate of interest
Nguyen, Thi Hien
Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
description 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.
format Article
author Nguyen, Thi Hien
author_facet Nguyen, Thi Hien
author_sort Nguyen, Thi Hien
title Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
title_short Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
title_full Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
title_fullStr Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
title_full_unstemmed Ruin Probabilities in Generalized Risk Process with a Marko Chain Interest Model
title_sort ruin probabilities in generalized risk process with a marko chain interest model
publisher H. : ĐHQGHN
publishDate 2017
url http://repository.vnu.edu.vn/handle/VNU_123/56242
_version_ 1680963995720220672

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