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Article: Some ruin problems for a risk process with stochastic interest
Title | Some ruin problems for a risk process with stochastic interest |
---|---|
Authors | |
Issue Date | 2005 |
Publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 |
Citation | North American Actuarial Journal, 2005, v. 9 n. 3, p. 129-142 How to Cite? |
Abstract | As investment plays an increasingly important role in the insurance business, ruin analysis in the presence of stochastic interest (or stochastic return on investments) has become a key issue in modern risk theory, and the related results should be of interest to actuaries. Although the study of insurance risk models with stochastic interest has attracted a fair amount of attention in recent years, many significant ruin problems associated with these models remain to be investigated. In this paper we consider a risk process with stochastic interest in which the basic risk process is the classical risk process and the stochastic interest process (or the stochastic return-on-investment-generating process) is a compound Poisson process with positive drift. Within this framework, we first derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function, and then obtain an exact solution to the equation. We also obtain closed-form expressions for the expected discounted penalty function in some special cases. Finally, we examine a lower bound for the ruin probability of the risk process. |
Persistent Identifier | http://hdl.handle.net/10722/172425 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Wang, G | en_US |
dc.date.accessioned | 2012-10-30T06:22:26Z | - |
dc.date.available | 2012-10-30T06:22:26Z | - |
dc.date.issued | 2005 | en_US |
dc.identifier.citation | North American Actuarial Journal, 2005, v. 9 n. 3, p. 129-142 | en_US |
dc.identifier.issn | 1092-0277 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172425 | - |
dc.description.abstract | As investment plays an increasingly important role in the insurance business, ruin analysis in the presence of stochastic interest (or stochastic return on investments) has become a key issue in modern risk theory, and the related results should be of interest to actuaries. Although the study of insurance risk models with stochastic interest has attracted a fair amount of attention in recent years, many significant ruin problems associated with these models remain to be investigated. In this paper we consider a risk process with stochastic interest in which the basic risk process is the classical risk process and the stochastic interest process (or the stochastic return-on-investment-generating process) is a compound Poisson process with positive drift. Within this framework, we first derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function, and then obtain an exact solution to the equation. We also obtain closed-form expressions for the expected discounted penalty function in some special cases. Finally, we examine a lower bound for the ruin probability of the risk process. | en_US |
dc.language | eng | en_US |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 | en_US |
dc.relation.ispartof | North American Actuarial Journal | en_US |
dc.title | Some ruin problems for a 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.scopus | eid_2-s2.0-33747887395 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33747887395&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 9 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 129 | en_US |
dc.identifier.epage | 142 | en_US |
dc.identifier.isi | WOS:000211841200008 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Wang, G=7407152599 | en_US |
dc.identifier.issnl | 1092-0277 | - |