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Martingale Method for Ruin Probabilityin a Generalized Risk Process under Rates of Interest with Homogenous Markov Chain Premiums and Homogenous Markov Chain Interests |
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PP: 15-22 |
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Author(s) |
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Phung Duy Quang,
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Abstract |
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| This paper gives upper bounds for ruin probabilities of generalized risk processes under rates of interest with homogenous
Markov chain premiums and Hemogenenous Markov chain Interests. We assume that premium and rate of interest take a countable
number of non-negative values. Generalized Lundberg inequalities for ruin probabilities of these processes are derived by theMartingale
approach |
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