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An exact formula for ruin probability in generalized risk model with homogeneous Markov chains
International Journal of Statistics and Applied Mathematics · 2023 · Vol. 8(3) · pp. 191–198
Phung Duy Quang✉(Le Hong Phong High School for the Gifted)Luu Thi Van Anh(Le Hong Phong High School for the Gifted)Bui Duc Duong(Foreign Trade University)Nguyễn Duy Phương(University Of Transport Technology)Nguyễn Văn Hoàng(Le Hong Phong High School for the Gifted)
Abstract
This paper considers a general risk model with the impact of interest rates. The purpose is to build a formula to calculate the ruin probability of that model. The assumption we expand in this paper is that the series of insurance premiums, the series of insurance claims and the series of interest rates are homogeneous and independent Markov chains. The sequences of random variables studied in this paper all have positive integer values. Using the properties of probability theory, we can build a formula for calculating ruin probability of the research model. 2000 MSC: primary62P05, 62E10, secondary 60F05.
Insurance, Mortality, Demography, Risk ManagementProbability and Risk ModelsRuin theoryMarkov chainMathematicsSeries (stratigraphy)Risk modelHomogeneousRisk theoryRandom variableEconometricsStatistics
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