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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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 |
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Vietnam National University, Hanoi |
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VNU Digital Repository |
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English |
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Discrete time risk model Time of ruin Ruin probability Recursive eqution Rate of interest |
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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 |
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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. |
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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 |
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1680963995720220672 |