Ruin probabilities for discrete time risk models with stochastic rates of interest

Xiao Wei and Yijun Hu

Statistics & Probability Letters, 2008, vol. 78, issue 6, 707-715

Abstract: Consider a discrete time risk model Un=(Un-1+Xn)(1+In)-Yn,n=1,2,..., where U0:=M>0 is the initial reserve of an insurance company, Xn the total amount of premiums, Yn the total amount of claims, In the interest rate and Un the reserve at time n. The time of ruin is denoted by [tau]M:=inf{n[greater-or-equal, slanted]1;Un

Keywords: Discrete; time; risk; model; Time; of; ruin; (finite; time; or; ultimate); Ruin; probability; Recursive; equation; Heavy; tailed; Rate; of; interest (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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