He Xiaoxia, Yao Chun, Hu Yijun. Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(3): 270-276.
Citation: He Xiaoxia, Yao Chun, Hu Yijun. Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(3): 270-276.

Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest

  • In this paper, we consider a discrete time risk process with random interest force. With the assumption that the interest rate process behaves as a Markov chain, we obtain the recursive equations and integral equations for finite and ultimate ruin probabilities, and Lundberg inequalities for the ultimate ruin probabilities are also provided.
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