IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v30y2014i2p157-171.html
   My bibliography  Save this article

Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves

Author

Listed:
  • Long Yang
  • Chuanjiang He

Abstract

In this paper, we study the absolute ruin probability in the compound Poisson model with credit and debit interests and liquid reserves. At first, we derive a system of integro‐differential equations with certain boundary conditions for the Gerber–Shiu function. Then, applying these results, we obtain asymptotical formula of the absolute ruin probability for subexponentially claims. Furthermore, when the claims are exponentially distributed, we obtain the explicit expressions for the Gerber–Shiu function and the exact solution for the absolute ruin probability. Finally, we discuss the absolute ruin probability by using the Gerber–Shiu function when debit interest is varying. In the case of exponential individual claim, we give the explicit expressions for the Gerber–Shiu function. Copyright © 2012 John Wiley & Sons, Ltd.

Suggested Citation

  • Long Yang & Chuanjiang He, 2014. "Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(2), pages 157-171, March.
    • Handle: RePEc:wly:apsmbi:v:30:y:2014:i:2:p:157-171
    DOI: 10.1002/asmb.1953
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.1953
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.1953?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:30:y:2014:i:2:p:157-171. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.