Ruin probabilities for risk models with Markov interest rates
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    Abstract:

    In order to study the effects of the factors like interest rate on the ruin probability,we consider a discrete time risk model with Markov chain as interest rates.Recursive and integral equations for ruin probability of finite and ultimate time are given,and upper bounds for ruin probability of ultimate time are obtained by inductive and martingale approaches.Numerical simulation shows that upper bounds for inductive and martingale are better than that of Lundberg.

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HU Ronghua, LI Zhimin. Ruin probabilities for risk models with Markov interest rates[J]. Journal of Nanjing University of Information Science & Technology,2013,5(2):184-187

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  • Received:September 02,2011
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