UPPER BOUNDS FOR RUIN PROBABILITY IN A CONTROLLED GENERAL RISK PROCESS WITH RATE OF INTEREST IS A FIRST - ORDER

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Quang Phung Duy, Thinh Nguyen Huu, Chien Doan Quyet, Nhat Nguyen Hong

Abstract

In this paper, we study a controlled general risk process where claim is homogeneous Markov
chain and rate of interest is a first-order autoregressive process. We assume that claim is
homogeneous Markov chain, take a countable number of nonnegative values and rate of interest
is a sequence of non-negative random variables what it satifies a first-order autoregressive
process. Generalized Lundberg inequalities for ruin probability of this process are derived by
the Martingale approach.

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How to Cite
Quang Phung Duy, Thinh Nguyen Huu, Chien Doan Quyet, Nhat Nguyen Hong. (2021). UPPER BOUNDS FOR RUIN PROBABILITY IN A CONTROLLED GENERAL RISK PROCESS WITH RATE OF INTEREST IS A FIRST - ORDER. Turkish Journal of Computer and Mathematics Education (TURCOMAT), 12(13), 6961–6968. https://doi.org/10.17762/turcomat.v12i13.10090
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Research Articles