Abstract
In this paper, we study a discrete time risk model with random interest
rate. The convergence of the discounted surplus process is proved by using martingale techniques, an expression of ruin probability is obtained, and bounds for
ruin probability are included. In the second part of the paper, the distribution of
surplus immediately after ruin, the distribution of surplus just before ruin, the joint
distribution of the surplus immediately before and after ruin, and the distribution
of ruin time are discussed.
rate. The convergence of the discounted surplus process is proved by using martingale techniques, an expression of ruin probability is obtained, and bounds for
ruin probability are included. In the second part of the paper, the distribution of
surplus immediately after ruin, the distribution of surplus just before ruin, the joint
distribution of the surplus immediately before and after ruin, and the distribution
of ruin time are discussed.
| Original language | English |
|---|---|
| Pages (from-to) | 287-299 |
| Journal | Math. Meth. Oper. Res |
| Volume | 63 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2006 |
| Externally published | Yes |