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

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  • Wei, Xiao
  • Hu, Yijun

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

Suggested Citation

  • Wei, Xiao & Hu, Yijun, 2008. "Ruin probabilities for discrete time risk models with stochastic rates of interest," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 707-715, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:707-715
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    References listed on IDEAS

    as
    1. Nyrhinen, Harri, 1999. "On the ruin probabilities in a general economic environment," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 319-330, October.
    2. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
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    Cited by:

    1. Ekaterina Bulinskaya & Boris Shigida, 2021. "Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 103-121, March.
    2. Ilya Tkachev & Alessandro Abate, 2013. "Computation of ruin probabilities for general discrete-time Markov models," Papers 1308.5152, arXiv.org.
    3. Ekaterina Bulinskaya & Julia Gusak & Anastasia Muromskaya, 2015. "Discrete-time Insurance Model with Capital Injections and Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 899-914, December.

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