DocumentCode
592947
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
fYear
2012
fDate
8-10 Dec. 2012
Firstpage
411
Lastpage
413
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Instrumentation, Measurement, Computer, Communication and Control (IMCCC), 2012 Second International Conference on
Conference_Location
Harbin
Print_ISBN
978-1-4673-5034-1
Type
conf
DOI
10.1109/IMCCC.2012.101
Filename
6428934
Link To Document