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Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment
| International Journal of Computer Applications |
| Foundation of Computer Science (FCS), NY, USA |
| Volume 77 - Number 4 |
| Year of Publication: 2013 |
| Authors: R. Manimaran |
10.5120/13380-0999
|
R. Manimaran . Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment. International Journal of Computer Applications. 77, 4 ( September 2013), 8-12. DOI=10.5120/13380-0999
Abstract
This article investigates the infinite-time ruin probabilities in a discrete-time stochastic economic environment platform under the assumption that the insurance risk-the total net loss within one time period is absolute-repeatedly-varying or suddenly-varying tailed, a different accurate estimates for the ruin probabilities are derived. In particular, some estimates found are standardized with respect to the time horizon, and so utilize in the case of infinite-time ruin.
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