Browsing by Author "Onyango, Fredrick"

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    Approximations of Ruin Probabilities Under Financial Constraints
    (Hikari Ltd., 2020) Simwa, Richard Onyino; Onyango, Fredrick; Odiwuor, Calvine
    In this paper, we investigate the approximate ruin probabilities under financial constraints (interest rate, inflation, and taxation). We formulate a risk process whose premium inflow is influenced by the economic effects of inflation and interest rate. Thereafter we invoke the Albrecher-Hipp loss-carried-forward tax scheme from which an exact formula for the ruin probability for exponentially distributed claims is derived. Finally, an explicit asymptotic formula when the claims have sub-exponential distribution is also derived using the PollaczekKhintchine formula.