Browsing by Author Nguyen, Thi Hien

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  • Authors: Nguyen, Thi Hien (2013)

  • This paper deals with ruin probabilities in generalized discrete time risk process with Markov chain interest model. After, recursive and integral equations for the ruin probabilities are given. When interest rates can be negative and loss distribution have regularly varying tails, the paper built an asymptotic formula for the finite time ruin probability by an inductive approach on the recursive equations.

Browsing by Author Nguyen, Thi Hien

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 3 of 3
  • 86.pdf.jpg
  • Article


  • Authors: Nguyen, Thi Hien (2013)

  • This paper deals with ruin probabilities in generalized discrete time risk process with Markov chain interest model. After, recursive and integral equations for the ruin probabilities are given. When interest rates can be negative and loss distribution have regularly varying tails, the paper built an asymptotic formula for the finite time ruin probability by an inductive approach on the recursive equations.