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

TitleRuin problems for a discrete time risk model with random interest rate
Authors
Yang, HZhang, L
KeywordsConvergence of the discounted surplus process
Interest income
Martingale
New better than used distribution
New worse than used distribution
Recursive formula
Issue Date2006
PublisherPhysica-Verlag GmbH und Co. The Journal's web site is located at http://link.springer.de/link/service/journals/00186/
Citation
Mathematical Methods of Operations Research, 2006, v. 63 n. 2, p. 287-299 How to Cite?
DOI: http://dx.doi.org/10.1007/s00186-005-0025-5
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/54356
ISSN
1432-2994
2021 Impact Factor: 1.337
2020 SCImago Journal Rankings: 0.524
ISI Accession Number ID
WOS:000237504300005
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.contributor.authorZhang, Len_HK
dc.date.accessioned2009-04-03T07:44:22Z-
dc.date.available2009-04-03T07:44:22Z-
dc.date.issued2006en_HK
dc.identifier.citationMathematical Methods of Operations Research, 2006, v. 63 n. 2, p. 287-299en_HK
dc.identifier.issn1432-2994en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54356-
dc.description.abstractIn 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.en_HK
dc.languageengen_HK
dc.publisherPhysica-Verlag GmbH und Co. The Journal's web site is located at http://link.springer.de/link/service/journals/00186/en_HK
dc.relation.ispartofMathematical Methods of Operations Researchen_HK
dc.rightsThe original publication is available at www.springerlink.comen_HK
dc.subjectConvergence of the discounted surplus processen_HK
dc.subjectInterest incomeen_HK
dc.subjectMartingaleen_HK
dc.subjectNew better than used distributionen_HK
dc.subjectNew worse than used distributionen_HK
dc.subjectRecursive formulaen_HK
dc.titleRuin problems for a discrete time risk model with random interest rateen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1432-2994&volume=63&issue=2&spage=287&epage=299&date=2006&atitle=Ruin+problems+for+a+discrete+time+risk+model+with+random+interest+rate+en_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1007/s00186-005-0025-5en_HK
dc.identifier.scopuseid_2-s2.0-33646694802en_HK
dc.identifier.hkuros120732-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33646694802&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume63en_HK
dc.identifier.issue2en_HK
dc.identifier.spage287en_HK
dc.identifier.epage299en_HK
dc.identifier.isiWOS:000237504300005-
dc.publisher.placeGermanyen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK
dc.identifier.issnl1432-2994-

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