Approximations of ruin probabilities under financial constraints

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dc.contributor.authorSimwa, Richard O
dc.contributor.authorOdiwuor, Calvine O
dc.contributor.authorOnyango, Fredrick
dc.date.accessioned2025-08-28T13:01:44Z
dc.date.issued2022
dc.description.abstractIn 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.
dc.identifier.urihttps://doi.org/10.12988/ams.2020.914188
dc.identifier.urihttp://192.168.8.146:4000/handle/123456789/80
dc.language.isoen
dc.publisherApplied Mathematical Sciences
dc.subjectRuin probability
dc.subjectRisk Process
dc.subjectFinancial Constraints
dc.subjectSub-exponential distribution.
dc.titleApproximations of ruin probabilities under financial constraints
dc.typeArticle

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