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

• 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
• Institution: Vietnam National University, Hanoi

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...