Ruin Theory in a Discrete Time Risk Model with Interest Income

L. Sun and H. Yang

British Actuarial Journal, 2003, vol. 9, issue 3, 637-652

Abstract: In this paper we consider a discrete time insurance risk model with interest income. Using the recursive calculation method of De Vylder & Goovaerts (1988), recursive equations for the finite time ruin probabilities and the distribution of the time of ruin are derived. Fredholm type integral equations for the ultimate ruin probability, the distribution of the severity of ruin, the joint distribution of surplus before and after ruin, and the probability of absolute ruin are obtained. Numerical results are included.

Date: 2003
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