DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST

Authors:
Jun Cai
Affiliations:
Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, E-mail: jcai@icarus.math.uwaterloo.ca
Venue:
Probability in the Engineering and Informational Sciences
Year:
2002

Citing 1
Cited 3

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Proceedings of the 13th ACM international conference on Hybrid systems: computation and control
Verification of discrete time stochastic hybrid systems: A stochastic reach-avoid decision problem

Automatica (Journal of IFAC)

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Abstract

Two discrete time risk models under rates of interest are introduced. Ruin probabilities in the two risk models are discussed. Stochastic inequalities for the ruin probabilities are derived by martingales and renewal recursive techniques. The inequalities can be used to evaluate the ruin probabilities as upper bounds. Numerical illustrations for these results are given.