Browsing by Author "Onyango, Fredrick"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Approximations of ruin probabilities under financial constraints
    (Applied Mathematical Sciences, 2022) Simwa, Richard O; Odiwuor, Calvine O; Onyango, Fredrick
    In this paper, we investigate the approximate ruin probabilities un-der 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 invokethe Albrecher-Hipp loss-carried-forward tax scheme from which an ex-act formula for the ruin probability for exponentially distributed claimsis derived. Finally, an explicit asymptotic formula when the claims have sub-exponential distribution is also derived using the Pollaczek-Khintchine formula.