Ruin Probability in Discrete Time Risk Model with Constant Interest Rate

被引：0
|
作者：
Luo Xuan [1 ]
Gao Jingli [2 ]
机构：
[1] Informat Engn Univ, Coll Sci, Zhengzhou, Peoples R China
[2] Henan Inst Mech & Elect Engn, Fundermental Dept, Zhengzhou, Peoples R China
来源：
PROCEEDINGS OF THE 2012 SECOND INTERNATIONAL CONFERENCE ON INSTRUMENTATION & MEASUREMENT, COMPUTER, COMMUNICATION AND CONTROL (IMCCC 2012) | 2012年
关键词：
discrete time insurance risk model; Markov chain; Ruin probability; Integral equation;
D O I：
10.1109/IMCCC.2012.101
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In this paper we consider the discrete time insurance risk model with interest rate. First we prove the surplus is Markov chain. Second we use the Markov chain get series expansion and the integral equation of ruin probability and the surplus distribution at ruin moment.
引用
收藏
页码：411 / 413
页数：3
相关论文
共 50 条
  • [1] Two Results about Ruin Probability in Discrete Time Risk Model with Constant Interest Rate
    Luo Xuan
    Cui Guozhong
    Wang Chunying
    INFORMATION AND FINANCIAL ENGINEERING, ICIFE 2011, 2011, 12 : 503 - 506
  • [2] Some results about ruin probability in discrete time insurance risk model with constant interest force
    Luo Xuan
    Liu Wenfen
    Proceedings of the 24th Chinese Control Conference, Vols 1 and 2, 2005, : 1677 - 1680
  • [3] Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate
    Xu Lin
    Zhu Dongjin
    Zhou Yanru
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2015, 44 (04) : 810 - 822
  • [4] Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate
    Xiao, Hongmin
    Xie, Lin
    RISKS, 2018, 6 (04):
  • [5] Approximations of the ruin probability in a discrete time risk model
    Santana, David J.
    Rincon, Luis
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (03): : 221 - 243
  • [6] On Finite Time Ruin Probability with Random Interest Rate in a Multi-Risk Model
    Jinghai FENG
    Lixin SONG
    Linna YI
    JournalofMathematicalResearchwithApplications, 2014, 34 (04) : 492 - 504
  • [7] Ruin Probability for the Model with a Constant Interest Rate and Disturbed by Diffusion in a Markovian Environment
    Huang Yujuan
    Yu Wenguang
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1415 - 1419
  • [8] Ruin Probability for Discrete-time Risk Model with Stochastic Rates of Interest and Dependent Claims
    Gao, Fenglong
    Wang, Dingcheng
    2010 INTERNATIONAL CONFERENCE ON INFORMATION, ELECTRONIC AND COMPUTER SCIENCE, VOLS 1-3, 2010, : 325 - 327
  • [9] The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
    Li, Jinzhu
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (04) : 1959 - 1971
  • [10] Exponential bounds for ruin probability in two moving average risk models with constant interest rate
    Yao, Ding Jun
    Wang, Rong Ming
    ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2008, 24 (02) : 319 - 328
12345