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On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
Surplus immediately prior to ruin Deficit at ruin
2011/11/7
In this paper, we study the Gerber-Shiu discounted penalty function for the ordinary renewal risk model modified by the constant interest on the surplus. The time of ruin is analyzed in terms of it$\&...
Ruin theory with a Markov chain interest model
Probability Markov chain Ruin function Interest
2011/11/5
In this paper we consider a discrete time risk process with a Markov chain interest model. We derive recursive equations satisfied respectively by the joint distribution of surplus immediately before ...