Ruin theory in a financial corporation model with credit risk

Hailiang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)


This paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnbull model (Markov chain model) is used to model the credit rating. Recursive equations for finite time ruin probability and
distribution of ruin time are derived. Coupled Volterra type integral equation systems for ultimate ruin probability, severity of ruin and joint distribution of surplus before and after ruin are also obtained. Some numerical results are included.
Original languageEnglish
Pages (from-to)135-145
JournalInsurance: Mathematics and Economics
Issue number1
Publication statusPublished - 2003
Externally publishedYes


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