Ruin Probability in a Generalised Risk Process under Rates of Interest with Homogenous Markov Chains

This article explores recursive and integral equations for ruin probabilities of generalised risk processes, under rates of interest with homogenous Markov chain claims and homogenous Markov chain premiums. We assume that claim and premium take a countable number of non-negative values. Generalised Lundberg inequalities for the ruin probabilities of these processes are derived via a recursive technique. Recursive equations for finite time ruin probabilities and an integral equation for the ultimate ruin probability are presented, from which corresponding probability inequalities and upper bounds are obtained. An illustrative numerical example is discussed.

SAFETY ASSESSMENT FOR SAFETY-CRITICAL SYSTEMS USING MARKOV CHAIN MODULAR APPROACH

The Markov Chain Modular (MCM) approach is proposed in this paper in order to solve part of the failure-state dependency problem. The MCM approach completely avoids the failure-state dependency problem by avoiding the combinatorial modeling. To quantitatively assess safety, a new Markov chain modeling technique is developed to represent an m + 2 state homogenous Markov chain model using a three-state Markov model. The transition rate functions of the three-state Markov model can be determined by the transition rates of the m + 2 state Markov chain model. Given a series system has N modules and each module has O(m) operational states, the MCM approach reduces the operational states to O(N × m2) as opposed to O(m2N) by using the traditional Markov chain model.