On the renewal risk process with stochastic interest
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.
scientific article; zbMATH DE number 5078106
scientific article