2008•Journal of Guangxi Normal UniversityRequires access

Ruin Probabilities with Credit Risk Model under Effect of Markov Chain Interest

Guohe Deng

Abstract

This paper proposed a discrete time credit risk model with a Markov chain interest.By using the recursive method,the recursive equation for finite time ruin probability and the integral equation for ultimate ruin probability,the upper bounds for finite and ultimate ruin probabilities are obtained.The equation for severity of ruin and the equation for the joint distribution of surplus before and after ruin time are presented.

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Key concepts: Ruin theory, Markov chain, Mathematics, First-hitting-time model, Applied mathematics, Balance equation, Risk model, Discrete time and continuous time