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Ruin problems for a discrete time risk model with random interest rate

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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.

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Authors and Affiliations

  1. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, People’s Republic of China

    Hailiang Yang

  2. School of Economics and Management, Tsinghua University, Beijing, People’s Republic of China

    Lihong Zhang

Authors
  1. Hailiang Yang
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  2. Lihong Zhang
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Correspondence to Hailiang Yang.

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Yang, H., Zhang, L. Ruin problems for a discrete time risk model with random interest rate. Math Meth Oper Res 63, 287–299 (2006). https://doi.org/10.1007/s00186-005-0025-5

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  • DOI: https://doi.org/10.1007/s00186-005-0025-5

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