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Article: On the renewal risk process with stochastic interest
Title | On the renewal risk process with stochastic interest |
---|---|
Authors | |
Keywords | Expected Discounted Penalty Function Integro-Differential Equation Renewal Risk Process Stochastic Interest Ultimate Ruin Probability |
Issue Date | 2006 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spa |
Citation | Stochastic Processes And Their Applications, 2006, v. 116 n. 10, p. 1496-1510 How to Cite? |
Abstract | In this paper, we consider the renewal risk process with stochastic interest. For this risk process, we derive exact expressions and integral equations for the Gerber-Shiu expected discounted penalty function and the ultimate ruin probability. When the interest is received at a constant rate and the inter-occurrence times of claims follow an Erlang distribution, we obtain an integro-differential equation for the expected discounted penalty function. We also give lower and upper bounds for the ultimate ruin probability. Finally, we present exact expressions for the discounted density associated with the expected discounted penalty function in two special cases of stochastic interest processes. © 2006 Elsevier Ltd. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172424 |
ISSN | 2023 Impact Factor: 1.1 2023 SCImago Journal Rankings: 1.123 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Wang, G | en_US |
dc.contributor.author | Wu, R | en_US |
dc.date.accessioned | 2012-10-30T06:22:26Z | - |
dc.date.available | 2012-10-30T06:22:26Z | - |
dc.date.issued | 2006 | en_US |
dc.identifier.citation | Stochastic Processes And Their Applications, 2006, v. 116 n. 10, p. 1496-1510 | en_US |
dc.identifier.issn | 0304-4149 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172424 | - |
dc.description.abstract | In this paper, we consider the renewal risk process with stochastic interest. For this risk process, we derive exact expressions and integral equations for the Gerber-Shiu expected discounted penalty function and the ultimate ruin probability. When the interest is received at a constant rate and the inter-occurrence times of claims follow an Erlang distribution, we obtain an integro-differential equation for the expected discounted penalty function. We also give lower and upper bounds for the ultimate ruin probability. Finally, we present exact expressions for the discounted density associated with the expected discounted penalty function in two special cases of stochastic interest processes. © 2006 Elsevier Ltd. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spa | en_US |
dc.relation.ispartof | Stochastic Processes and their Applications | en_US |
dc.subject | Expected Discounted Penalty Function | en_US |
dc.subject | Integro-Differential Equation | en_US |
dc.subject | Renewal Risk Process | en_US |
dc.subject | Stochastic Interest | en_US |
dc.subject | Ultimate Ruin Probability | en_US |
dc.title | On the renewal risk process with stochastic interest | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.spa.2006.04.012 | en_US |
dc.identifier.scopus | eid_2-s2.0-33747878247 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33747878247&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 116 | en_US |
dc.identifier.issue | 10 | en_US |
dc.identifier.spage | 1496 | en_US |
dc.identifier.epage | 1510 | en_US |
dc.identifier.isi | WOS:000241149300008 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Wang, G=7407152599 | en_US |
dc.identifier.scopusauthorid | Wu, R=35591104900 | en_US |
dc.identifier.issnl | 0304-4149 | - |