On the renewal risk process with stochastic interest (Q855690)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the renewal risk process with stochastic interest |
scientific article |
Statements
On the renewal risk process with stochastic interest (English)
0 references
7 December 2006
0 references
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.
0 references
expected discounted penalty function
0 references
integro-differential equation
0 references
ultimate ruin probability
0 references
0 references
0 references
