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

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  • Hailiang Yang
  • Lihong Zhang

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. Copyright Springer-Verlag 2006

Suggested Citation

  • 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.
    • Handle: RePEc:spr:mathme:v:63:y:2006:i:2:p:287-299
    DOI: 10.1007/s00186-005-0025-5
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    References listed on IDEAS

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    Cited by:

    1. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    2. Ilya Tkachev & Alessandro Abate, 2013. "Computation of ruin probabilities for general discrete-time Markov models," Papers 1308.5152, arXiv.org.
    3. Eckert, Johanna & Gatzert, Nadine, 2018. "Risk- and value-based management for non-life insurers under solvency constraints," European Journal of Operational Research, Elsevier, vol. 266(2), pages 761-774.

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