On the renewal risk process with stochastic interest (Q855690): Difference between revisions
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Revision as of 01:23, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | On the renewal risk process with stochastic interest |
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On the renewal risk process with stochastic interest (English)
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7 December 2006
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The authors study the ruin problem with the renewal risk process with stochastic interest. They derive integral equations and exact expressions for the Gerber-Shiu expected discounted penalty function. Lower and upper bounds for the ultimate ruin probability are also given. Exact expression for the discounted density associated with the expected discounted penalty function is given in two special cases of stochastic interest processes.
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expected discounted penalty function
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integro-differential equation
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ultimate ruin probability
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