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

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Bazyari Abouzar

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Journal Paper

Paper Information

Journal: JOURNAL OF STATISTICAL MODELLING: THEORY AND APPLICATIONS Year:2022 | Volume:3 | Issue:2 Page(s): 85-101

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Information Journal Paper

Title

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

Author(s)

Bazyari Abouzar | Issue Writer Certificate

Keywords

Discrete-time risk model

Homogeneous Markov chain

Ruin probability

Stationary distribution

Transition probability matrix

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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