An exact formula for ruin probability in generalized risk model with homogeneous Markov chains
Author(s): Phung Duy Quang, Luu Thi Van Anh, Bui Duc Duong, Nguyen Duy Phuong and Nguyen Van Hoang
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.
Phung Duy Quang, Luu Thi Van Anh, Bui Duc Duong, Nguyen Duy Phuong, Nguyen Van Hoang. An exact formula for ruin probability in generalized risk model with homogeneous Markov chains. Int J Stat Appl Math 2023;8(3):191-198. DOI: 10.22271/maths.2023.v8.i3c.1016
