BOUNDS FOR THE RUIN PROBABILITY OF A DISCRETE-TIME RISK PROCESS

被引：15

作者：

Diasparra, Maikol A. ^{[1
]}

Romera, Rosario ^{[2
]}

机构：

[1] Univ Simon Bolivar, Dept Pure & Appl Math, Caracas 1080A, Venezuela

[2] Univ Carlos III Madrid, Dept Stat, E-28903 Getafe, Spain

来源：

JOURNAL OF APPLIED PROBABILITY | 2009年 / 46卷 / 01期

关键词：

Risk process; ruin probability; Lundberg's inequality; proportional reinsurance;

D O I：

10.1239/jap/1238592119

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin, we may reinsure a part or even all of the reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a stationary policy. To illustrate these results, a numerical example is included.

引用

页码：99 / 112

页数：14

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