Upper Bounds for Ruin Probability in a Generalized Risk Process under Rates of Interest with Homogenous Markov Chain Claims

The aim of this study is to give upper bounds for ruin probabilities of generalized risk processes under interest force with homogenous Markov chain claims. Generalized Lundberg inequalities for ruin probabilities of these processes are derived by the martingale approach.

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Bibliographic Details
Published in:Asian journal of mathematics & statistics 2014-01, Vol.7 (1), p.1-1
Main Author: Quang, Phung Duy
Format: Article
Language:English
Subjects:
Asian
Inequalities
Markov chains
Martingales
Mathematical analysis
Risk
Statistics
Upper bounds
Online Access:Get full text
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Description
Summary:The aim of this study is to give upper bounds for ruin probabilities of generalized risk processes under interest force with homogenous Markov chain claims. Generalized Lundberg inequalities for ruin probabilities of these processes are derived by the martingale approach.
ISSN:1994-5418
2077-2068