Ruin Probability in a Generalized Risk Process Under Interest Force With Homogenous Markov Chain Premiums

Phung Duy Quang


The aim of this paper is to give recursive and integral equations for ruin probabilities for generalized risk processes under interest force with homogenous markov chain premiums. Inequalities for ruin probabilities are derived by using recursive technique. We give recursive equations for finite-time probability and an integral equation for ultimate ruin probability in Theorem 2.1 and Theorem 2.2. Using these equations, we can derive probability inequalities for finite-time probabilities and ultimate ruin probability in Theorem 3.1 and Theorem 3.2. These Theorems give upper bounds for finite-time probabilities and ultimate ruin probability.

Full Text: PDF DOI: 10.5539/ijsp.v2n4p85


  • There are currently no refbacks.

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.