Email this article MARTINGALE METHOD FOR RUIN PROBABILITY IN A CONTROLLED RISK PROCESS UNDER RATES OF INTEREST WITH HOMOGENOUS MARKOV CHAINS
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Published: 05/03/18Authors
Phung Duy Quang
, Foreign Trade University
Abstract
In this paper, we study a controlled general risk process. We assume that claim and rates of interest are homogenous Markov chains, take a countable number of non – negative values. Generalized Lundberg inequalities for ruin probability of this process are derived by the Martingale approach.
Keywords
ruin probability, homogenous Markov chain, controlled risk process, Supermartingale, Optional Stopping theorem
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