Discrete Time Risk Model with Discounted Rate

DOI

10.2991/gefhr-14.2014.21How to use a DOI?

Keywords

Discount rate, Discrete time risk model, Finite time ruin probability, Ultimate ruin probability, Distribution of the largest surplus before ruin

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.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Guzalnur Abdukadir
AU  - Lijun Wu
PY  - 2014/03
DA  - 2014/03
TI  - Discrete Time Risk Model with Discounted Rate
BT  - Proceedings of the 2014 International Conference on Global Economy, Finance and Humanities Research
PB  - Atlantis Press
SP  - 77
EP  - 80
SN  - 1951-6851
UR  - https://doi.org/10.2991/gefhr-14.2014.21
DO  - 10.2991/gefhr-14.2014.21
ID  - Abdukadir2014/03
ER  -