On the renewal risk process with stochastic interest
type: Item
instance of: scholarly article
title: On the renewal risk process with stochastic interest
zbMATH Open document ID: 1109.60071
author: Rong Wu
author: Kam Chuen Yuen
author: Guojing Wang
published in: Stochastic Processes and their Applications
publication date: 2006-12-07T00:00:00Z
review text: The authors study the ruin problem with the renewal risk process with stochastic interest. They derive integral equations and exact expressions for the Gerber-Shiu expected discounted penalty function. Lower and upper bounds for the ultimate ruin probability are also given. Exact expression for the discounted density associated with the expected discounted penalty function is given in two special cases of stochastic interest processes.
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60K05
zbMATH DE Number: 5078106
zbMATH Keywords: expected discounted penalty function
zbMATH Keywords: integro-differential equation
zbMATH Keywords: ultimate ruin probability
reviewed by: Alexandra Rodkina
MaRDI profile type: Publication
full work available at URL: j.spa.2006.04.012
OpenAlex ID: W2066332436
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DOI: 10.1016/J.SPA.2006.04.012
description: scientific article; zbMATH DE number 5078106