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Recursive calculation of finite time ruin probabilities under interest force. (English) Zbl 1103.60314

Summary: We consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained.

MSC:

60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
60G55 Point processes (e.g., Poisson, Cox, Hawkes processes)
65C50 Other computational problems in probability (MSC2010)
91B30 Risk theory, insurance (MSC2010)
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References:

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