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Cai, J. and Dickson, D.C.M. (2004) Ruin Probabilities with a Markov Chain Interest Model. Insurance: Mathematics and Economics, 35, 513-525.
https://doi.org/10.1016/j.insmatheco.2004.06.004

has been cited by the following article:

• TITLE: Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities

  AUTHORS: Nguyen Quang Chung

  KEYWORDS: Excess of Loss Reinsurance, Ruin Probability, Quota Share Level, Retention Level, Interest Rate, Markov Chain, Martingale Process

  JOURNAL NAME: Journal of Mathematical Finance, Vol.7 No.4, November 29, 2017

  ABSTRACT: In this paper, discrete time risk models under an excess of loss reinsurance are studied. Adjustment coefficients of the cedent and the reinsurer are established as functions of quota share level and retention level. By the martingale method, ruin probabilities of the cedent and the reinsurer still have exponential form. Finally, numerical examples are provided to illustrate the results obtained in this paper.