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DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST

Published online by Cambridge University Press:  22 May 2002

Jun Cai
Affiliation:
Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, E-mail: jcai@icarus.math.uwaterloo.ca

Abstract

Two discrete time risk models under rates of interest are introduced. Ruin probabilities in the two risk models are discussed. Stochastic inequalities for the ruin probabilities are derived by martingales and renewal recursive techniques. The inequalities can be used to evaluate the ruin probabilities as upper bounds. Numerical illustrations for these results are given.

Type
Research Article
Copyright
© 2002 Cambridge University Press

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