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2014•Advances in intelligent systems research/Advances in Intelligent Systems ResearchOpen access

Discrete Time Risk Model with Discounted Rate

Guzalnur Abdukadir, Lijun Wu

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Abstract

In this paper, we consider a discrete time risk model with discount rate. By using the recursive method, recursion formulas for distribution of the largest surplus before ruin, ruin probabilities in finite time and ultimate ruin probability are derived. Moreover, recursion formulas for the ruin lasting time are also derived.

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What this paper is about

In this paper, we consider a discrete time risk model with discount rate. By using the recursive method, recursion formulas for distribution of the largest surplus before ruin, ruin probabilities in finite time and ultimate ruin probability are derived. Moreover, recursion formulas for the ruin lasting time are also derived.

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Available abstract

In this paper, we consider a discrete time risk model with discount rate. By using the recursive method, recursion formulas for distribution of the largest surplus before ruin, ruin probabilities in finite time and ultimate ruin probability are derived. Moreover, recursion formulas for the ruin lasting time are also derived.

Key concepts: Recursion (computer science), Ruin theory, Discrete time and continuous time, Risk model, First-hitting-time model, Mathematics, Applied mathematics, Distribution (mathematics)

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