Title: Ruin Problem with a Markov Chain Interest Model
Abstract: Considering the fluctuations of the further rates only depends on the present rates and it doesn't matter much with the past rates,we introduce a discrete time risk process with a Markov chain interest model and it reflects the independence of the further rates and present rates.We study the surplus before and after ruin with emphasis,and obtain the integral expressions of instantaneous surplus before ruin and combined distribution of bankruptcy deficit respectively by using the full probability formula.Finally,we get the integral expression of instantaneous surplus distribution before ruin,bankruptcy deficit distribution and ruin probability respectively.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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