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Ruin Theory in a Discrete Time Risk Model with Interest Income

Published online by Cambridge University Press:  10 June 2011

L. Sun  and
H. Yang
L. Sun
Affiliation:
Department of Mathematics, Fudan University, Shanghai 200433, P. R. China., Email: ljuan@fudan.edu.cn
H. Yang
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong., Tel: +852-2857-8322, Fax: +852-2858-9041, Email:hlyang@hkusua.hku.hk
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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.

Keywords

Ruin ProbabilitySeverity of RuinAbsolute Ruin ProbabilityInterest IncomeRecursive CalculationFredholm Type Integral Equation
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 9 , Issue 3 , 01 August 2003 , pp. 637 - 652
Copyright
Copyright © Institute and Faculty of Actuaries 2003

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