Approximations of Ruin Probabilities Under Financial Constraints
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
Hikari Ltd.
Abstract
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.
Description
Journal Article
Keywords
Ruin probability, Risk Process, Financial Constraints, Subexponential distribution.
Citation
Simwa, R. O., Onyango, F., & Odiwuor, C. (2020). Approximations of Ruin Probabilities Under Financial Constraints. Hikari Ltd.