Approximations of Ruin Probabilities Under Financial Constraints

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dc.contributor.authorSimwa, Richard Onyino
dc.contributor.authorOnyango, Fredrick
dc.contributor.authorOdiwuor, Calvine
dc.date.accessioned2025-05-26T07:59:35Z
dc.date.available2025-05-26T07:59:35Z
dc.date.issued2020
dc.descriptionJournal Article
dc.description.abstractIn 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.
dc.identifier.citationSimwa, R. O., Onyango, F., & Odiwuor, C. (2020). Approximations of Ruin Probabilities Under Financial Constraints. Hikari Ltd.
dc.identifier.urihttps://repository.daystar.ac.ke/handle/123456789/6774
dc.language.isoen
dc.publisherHikari Ltd.
dc.relation.ispartofseries14(7)
dc.subjectRuin probability
dc.subjectRisk Process
dc.subjectFinancial Constraints
dc.subjectSubexponential distribution.
dc.titleApproximations of Ruin Probabilities Under Financial Constraints
dc.typeArticle

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