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Ruin Theory in a Discrete Time Risk Model with Interest Income

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  • Sun, L.
  • Yang, H.

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.

Suggested Citation

  • Sun, L. & Yang, H., 2003. "Ruin Theory in a Discrete Time Risk Model with Interest Income," British Actuarial Journal, Cambridge University Press, vol. 9(3), pages 637-652, August.
    • Handle: RePEc:cup:bracjl:v:9:y:2003:i:03:p:637-652_00
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    Cited by:

    1. Ernesto Cruz & Luis Rincón & David J. Santana, 2024. "Ruin Probabilities as Recurrence Sequences in a Discrete-Time Risk Process," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-16, September.
    2. Hailiang Yang & Lihong Zhang, 2006. "Ruin problems for a discrete time risk model with random interest rate," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 287-299, May.
    3. Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.

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