Work

Computing Ruin Probability in Generalized Risk Processes under Constant Interest Force

Year: 2013

Type: article

Abstract: The aim of this paper is to build an exact formula for ruin probability of generalized risk processes under constant interest force with sequences of random variables such that these sequences are usually assumed to be positive integer - valued random variables. An exact formula for finite time ruin (non-ruin) probabilities are derive by using technique of classical probability. A numerical example is given to illustrate results.

Source: International Journal of Probability and Statistics

Authors: Quang Phung Duy, Việt Nam

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W51316670

FWCI: 0.399

Cites: 9

Cited by: 1

Related to: 10