Title :
Ruin Probability in Discrete Time Risk Model with Constant Interest Rate
Author :
Luo Xuan ; Gao Jingli
Author_Institution :
Coll. of Sci., Inf. Eng. Univ., Zhengzhou, China
Abstract :
In this paper we consider the discrete time insurance risk model with interest rate. First we prove the surplus is Markov chain. Second we use the Markov chain get series expansion and the integral equation of ruin probability and the surplus distribution at ruin moment.
Keywords :
Markov processes; economic indicators; integral equations; probability; Markov chain; constant interest rate; discrete time insurance risk model; integral equation; ruin moment; ruin probability; series expansion; surplus distribution; Analytical models; Companies; Computational modeling; Economic indicators; Insurance; Markov processes; Mathematical model; Integral equation; Markov chain; Ruin probability; discrete time insurance risk model;
Conference_Titel :
Instrumentation, Measurement, Computer, Communication and Control (IMCCC), 2012 Second International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4673-5034-1
DOI :
10.1109/IMCCC.2012.101
