Bounds for the Ruin Probability ofa a Discrete-time Risk Process Articles uri icon

publication date

  • March 2009

start page

  • 99

end page

  • 112


  • 1


  • 46

International Standard Serial Number (ISSN)

  • 0021-9002

Electronic International Standard Serial Number (EISSN)

  • 1475-6072


  • We consider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin, we may reinsure a part or even all of the reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a stationary policy. To illustrate these results, a numerical example is included.