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Ruin Probability in a Generalized Risk Process under Rates of Interest with Dependent Structures |
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PP: 53-61 |
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Author(s) |
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Phung Duy Quang,
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Abstract |
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| The aim of this paper is to build recursive and integral equations for ruin probabilities of generalized risk processes under
rates of interest with homogenous markov chain claims and homogenous markov chain premiums, while the interest rates follow a firstorder
autoregressive processe. Generalized Lundberg inequalities for ruin probabilities of this processe are derived by using recursive
technique. |
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