Ruin Probability with Investment Returns and Dependent Structures

Research Article

Fenglong Guo and Dingcheng Wan

Abstract

This paper investigates ruin probabilities in a discrete-time risk model, where the premiums are modelled by a Markov chain, while the claims and interest rates follow two first-order autoregressive processes. Recursive and integral equations are given for ruin probabilities in the risk model. Inequalities for ruin probability are derived by recursive techniques

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