Ruin Probability in a Generalised Risk Process under Rates of Interest with Homogenous Markov Chains

DOI10.4208/EAJAM.051013.230614AzbMath1458.62252OpenAlexW2324859579MaRDI QIDQ2929988

Phung Duy Quang

Publication date: 17 November 2014

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.051013.230614a

zbMATH Keywords

integral equationruin probabilityhomogeneous Markov chainrecursive equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Risk models (general) (91B05)

Cites Work

• The adjustment function in ruin estimates under interest force
• Ruin estimates under interest force
• Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
• Ruin probabilities with dependent rates of interest
• Rough descriptions of ruin for a general class of surplus processes
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST

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