Ruin probabilities in a discrete-time risk process with homogeneous markov chain
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_JSMTA-3-2_006
تاریخ نمایه سازی: 23 خرداد 1403
Abstract:
The present paper considers a discrete-time risk model with a homogeneous, irreducible, and aperiodic Markov chain. The general distribution of total claim amounts is influenced by the environmental Markov chain and in the i-th period the individual claim sizes are conditionally independent. We obtain the recursive formulae for infinite time ruin probability using the technique of ordinary generating functions. In addition, we give some restrictions which under those the ruin will not happen. In the last part, we present some numerical illustrations for the results and give the practical problem through a fully developed case study in the domain of social insurance
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Authors
Abouzar Bazyari
Department of Statistics, Faculty of Intelligent Systems Engineering and Data Science, Persian Gulf University, Bushehr, Iran