Authors
Jun Cai, David CM Dickson
Publication date
2004/12/6
Journal
Insurance: Mathematics and Economics
Volume
35
Issue
3
Pages
513-525
Publisher
North-Holland
Description
Finite and infinite time ruin probabilities in a discrete time risk process with a Markov chain interest model are studied. Recursive and integral equations for the ruin probabilities are given. When interest rates are non-negative, generalized Lundberg inequalities for the infinite time ruin probability are derived by inductive and martingale approaches. When interest rates can be negative and loss distributions have regularly varying tails, asymptotic formulas for the finite time ruin probability are given by an inductive approach on the recursive equations.
Total citations
Scholar articles
J Cai, DCM Dickson - Insurance: Mathematics and Economics, 2004