Ruin problems for a discrete time risk model with random interest rate

被引：9

作者：

Yang, HL

Zhang, LH

机构：

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[2] Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2006年 / 63卷 / 02期

关键词：

martingale; interest income; convergence of the discounted surplus process; new better than used distribution; new worse than used distribution; recursive formula;

D O I：

10.1007/s00186-005-0025-5

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we study a discrete time risk model with random interest rate. The convergence of the discounted surplus process is proved by using martingale techniques, an expression of ruin probability is obtained, and bounds for ruin probability are included. In the second part of the paper, the distribution of surplus immediately after ruin, the distribution of surplus just before ruin, the joint distribution of the surplus immediately before and after ruin, and the distribution of ruin time are discussed.

引用

页码：287 / 299

页数：13

共 15 条

[1] Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest [J].