On the renewal risk process with stochastic interest. (English) Zbl 1109.60071
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.
Reviewer: Alexandra Rodkina (Kingston/Jamaica)
MSC:
| 60K10 | Applications of renewal theory (reliability, demand theory, etc.) |
| 91B30 | Risk theory, insurance (MSC2010) |
| 60K05 | Renewal theory |
Keywords:
expected discounted penalty function; integro-differential equation; ultimate ruin probabilityReferences:
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