Ruin probabilities in a discrete-time risk process with homogeneous markov chain

Document Type : Original Scientific Paper

Author

Department of Statistics‎, ‎Faculty of Intelligent Systems Engineering and Data Science‎, ‎Persian Gulf University‎, ‎Bushehr‎, ‎Iran

Abstract

The present paper considers a discrete-time risk model with a homogeneous‎, ‎irreducible‎, ‎and aperiodic Markov chain‎. ‎The general distribution of total claim amounts is influenced by the environmental Markov chain and in the i-th period the individual claim sizes are conditionally independent‎. ‎We obtain the recursive formulae for infinite time ruin probability using the technique of ordinary generating functions‎. ‎In addition‎, ‎we give some restrictions which under those the ruin will not happen‎. ‎In the last part‎, ‎we present some numerical illustrations for the results and give the practical problem through a fully developed case study in the domain of social insurance

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Journal of Statistical Modelling: Theory and Applications
Volume 3, Issue 2
July 2022
Pages 85-101

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History

  • Receive Date: 27 December 2022
  • Revise Date: 02 August 2023
  • Accept Date: 05 August 2023

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