2013•International Journal of Probability and StatisticsOpen access

Computing Ruin Probability in Generalized Risk Processes under Constant Interest Force

Quang Phung Duy, Việt Nam

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.

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Key concepts: Mathematics, Ruin theory, Constant (computer programming), Risk model, First-hitting-time model, Random variable, Applied mathematics, Integer (computer science)