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Article: On the renewal risk process with stochastic interest

TitleOn the renewal risk process with stochastic interest
Authors
Yuen, KCWang, GWu, R
KeywordsExpected Discounted Penalty Function
Integro-Differential Equation
Renewal Risk Process
Stochastic Interest
Ultimate Ruin Probability
Issue Date2006
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/j.spa.2006.04.012
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/172424
ISSN
0304-4149
2021 Impact Factor: 1.430
2020 SCImago Journal Rankings: 1.478
ISI Accession Number ID
WOS:000241149300008
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorWang, Gen_US
dc.contributor.authorWu, Ren_US
dc.date.accessioned2012-10-30T06:22:26Z-
dc.date.available2012-10-30T06:22:26Z-
dc.date.issued2006en_US
dc.identifier.citationStochastic Processes And Their Applications, 2006, v. 116 n. 10, p. 1496-1510en_US
dc.identifier.issn0304-4149en_US
dc.identifier.urihttp://hdl.handle.net/10722/172424-
dc.description.abstractIn 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.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spaen_US
dc.relation.ispartofStochastic Processes and their Applicationsen_US
dc.subjectExpected Discounted Penalty Functionen_US
dc.subjectIntegro-Differential Equationen_US
dc.subjectRenewal Risk Processen_US
dc.subjectStochastic Interesten_US
dc.subjectUltimate Ruin Probabilityen_US
dc.titleOn the renewal risk process with stochastic interesten_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.spa.2006.04.012en_US
dc.identifier.scopuseid_2-s2.0-33747878247en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33747878247&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume116en_US
dc.identifier.issue10en_US
dc.identifier.spage1496en_US
dc.identifier.epage1510en_US
dc.identifier.isiWOS:000241149300008-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridWang, G=7407152599en_US
dc.identifier.scopusauthoridWu, R=35591104900en_US
dc.identifier.issnl0304-4149-

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