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
Bazyari, A. (2022). Ruin probabilities in a discrete-time risk process with homogeneous markov chain. Journal of Statistical Modelling: Theory and Applications, 3(2), 85-101. doi: 10.22034/jsmta.2023.19435.1080
MLA
Abouzar Bazyari. "Ruin probabilities in a discrete-time risk process with homogeneous markov chain", Journal of Statistical Modelling: Theory and Applications, 3, 2, 2022, 85-101. doi: 10.22034/jsmta.2023.19435.1080
HARVARD
Bazyari, A. (2022). 'Ruin probabilities in a discrete-time risk process with homogeneous markov chain', Journal of Statistical Modelling: Theory and Applications, 3(2), pp. 85-101. doi: 10.22034/jsmta.2023.19435.1080
VANCOUVER
Bazyari, A. Ruin probabilities in a discrete-time risk process with homogeneous markov chain. Journal of Statistical Modelling: Theory and Applications, 2022; 3(2): 85-101. doi: 10.22034/jsmta.2023.19435.1080
)